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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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| Title: | | A note on testing symmetry of the error distribution in linear regression models  |
| Authors: | | Neumeyer, Natalie Dette, Holger Nagel, Eva-Renate |
| Issue Date: | | 2003 |
| Series/Report no.: | | Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2003,25 |
| Abstract: | | In the classical linear regression model the problem of testing for symmetry of the error distribution is considered. The test statistic is a functional of the difference between the two empirical distribution functions of the estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is established. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study. |
| Subjects: | | M-estimation goodness-of-fit tests testing for symmetry empirical process of residuals linear model |
| Document Type: | | Working Paper |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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