Model checking for generalized partially linear models

• Xinmin Li ^[1] ; Haozhe Liang ^[2] ; Wolfgang Härdle ^[4] ; Hua Liang ^[3]
  1. [1] Qingdao University

     Qingdao University

     China

     
  2. [2] University of Science and Technology of China

     University of Science and Technology of China

     China

     
  3. [3] George Washington University

     George Washington University

     Estados Unidos

     
  4. [4] Wang Yanan Institute for Studies in Economics

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• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 33, Nº. 2, 2024, págs. 361-378
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • We propose a residual-marked empirical process test to check goodness of fit for generalized partially linear models. The proposed test can gain dimension reduction, is shown to be consistent, and can detect root-n local alternatives. We further establish asymptotic distributions of the proposed test under the null hypothesis and analyze asymptotic properties under the local and global alternatives, and suggest a bootstrap procedure for calculating the critical value. We investigate its numerical performance by simulation experiments and illustrate its utilization in two real data examples.