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Technical Report No. 2005,05
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
We describe how to test the null hypothesis that errors from two parametrically specified regression models have the same distribution versus a general alternative. First we obtain the asymptotic properties of teststatistics derived from the difference between the two residual-based empirical distribution functions. Under the null distribution they are not asymptotically distribution free and, hence, a consistent bootstrap procedure is proposed to compute critical values. As an alternative, we describe how to perform the test with statistics based on martingale-transformed empirical processes, which are asymptotically distribution free. Some Monte Carlo experiments are performed to compare the behaviour of all statistics with moderate sample sizes.
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Working Paper

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