A robust goodness‐of‐fit test statistic with application to ordinal regression models

We propose a goodness‐of‐fit test statistic for linear regression with heterogeneous variance, which is asymptotically chi‐square if the given model is correct. The test statistic is computed as a quadratic form of observed minus predicted responses. We apply the method to a linear regression for an ordinal categorical response, the wheezing status of a child (no wheeze, wheeze with cold, wheeze apart from cold) as a function of maternal smoking and city of residence.