[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v49y1994i2p255-265.html
   My bibliography  Save this article

On Bootstrapping M-Estimated Residual Processes in Multiple Linear-Regression Models

Author

Listed:
  • Koul, H. L.
  • Lahiri, S. N.
Abstract
It is shown, under fairly general conditions, that Efron's bootstrap procedure captures the limit distribution of weighted empirical processes based on M-estimated residuals in multiple linear regression models. As an application, we construct bootstrap confidence bands for the error distribution function F. The main result can also be used to design distribution-free goodness-of-fit tests for F without any recourse to the split-sample estimation of the regression parameters.

Suggested Citation

  • Koul, H. L. & Lahiri, S. N., 1994. "On Bootstrapping M-Estimated Residual Processes in Multiple Linear-Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 49(2), pages 255-265, May.
    • Handle: RePEc:eee:jmvana:v:49:y:1994:i:2:p:255-265
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(84)71025-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010. "An improved bootstrap test of stochastic dominance," Journal of Econometrics, Elsevier, vol. 154(2), pages 186-202, February.
    2. Holger Dette & Natalie Neumeyer & Ingrid Van Keilegom, 2007. "A new test for the parametric form of the variance function in non‐parametric regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(5), pages 903-917, November.
    3. Juan Mora, 2005. "The Two-Sample Problem With Regression Errors: An Empirical Process Approach," Working Papers. Serie AD 2005-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    4. Nagel, Eva-Renate & Dette, Holger & Neumeyer, Natalie, 2004. "Bootstrap tests for the error distribution in linear and nonparametric regression models," Technical Reports 2004,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Natalie Neumeyer, 2009. "Smooth Residual Bootstrap for Empirical Processes of Non‐parametric Regression Residuals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 204-228, June.
    6. Neumeyer, Natalie & Dette, Holger & Nagel, Eva-Renate, 2003. "A note on testing symmetry of the error distribution in linear regression models," Technical Reports 2003,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    7. Oliver Linton & Kyungchui (Kevin) Song & Yoon-Jae Whang, 2008. "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," CeMMAP working papers CWP08/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Janssen, Paul & Swanepoel, Jan & Veraverbeke, Noël, 2005. "Bootstrapping modified goodness-of-fit statistics with estimated parameters," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 111-121, February.
    9. Mora, Juan, 2005. "Comparing distribution functions of errors in linear models: A nonparametric approach," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 425-432, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:49:y:1994:i:2:p:255-265. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.