A comparison of alternative approaches to supremum-norm goodness-of-fit tests with estimated parameters

DOI10.1017/S0266466612000825MaRDI QIDQ4979322zbMATH OpenFDO

Authors Thomas S. Parker

Publication date 20 June 2014

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Gaussian processes (60G15)

Recommendations

• Goodness-of-fit tests when parameters are estimated
• Bootstrapping modified goodness-of-fit statistics with estimated parameters
• Bootstrap based goodness-of-fit-tests
• Bootstrap goodness-of-fit tests with estimated parameters based on empirical transforms
• Randomized goodness of fit tests

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Cited in

(5)

• Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests
• scientific article; zbMATH DE number 5847120 (Why is no real title available?)
• Permutation test for heterogeneous treatment effects with a nuisance parameter
• Goodness-of-fit testing based on a weighted bootstrap: a fast large-sample alternative to the parametric bootstrap
• Approximations for weighted Kolmogorov-Smirnov distributions via boundary crossing probabilities

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