Empirical likelihood based testing for regression

Details Empirical likelihood based testing for regression Empirical likelihood based testing for regression

2007-11-27

arxiv.org/abs/0711.4218v2

Electronic Journal of Statistics 2008, Vol. 2, 581-604

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/07-EJS152 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/07-EJS152

Consider a random vector $(X,Y)$ and let $m(x)=E(Y|X=x)$. We are interested in testing $H_0:m\in {\cal M}_{\Theta,{\cal G}}=\{\gamma(\cdot,\theta,g):\theta \in \Theta,g\in {\cal G}\}$ for some known function $\gamma$, some compact set $\Theta \subset $IR$^p$ and some function set ${\cal G}$ of real valued functions. Specific examples of this general hypothesis include testing for a parametric regression model, a generalized linear model, a partial linear model, a single index model, but also the selection of explanatory variables can be considered as a special case of this hypothesis. To test this null hypothesis, we make use of the so-called marked empirical process introduced by \citeD and studied by \citeSt for the particular case of parametric regression, in combination with the modern technique of empirical likelihood theory in order to obtain a powerful testing procedure. The asymptotic validity of the proposed test is established, and its finite sample performance is compared with other existing tests by means of a simulation study.

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