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Robust Tests in Semiparametric Partly Linear Models
Author(s) -
BIANCO ANA,
BOENTE GRACIELA,
MARTÍNEZ ELENA
Publication year - 2006
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/j.1467-9469.2006.00510.x
Subject(s) - mathematics , semiparametric regression , null hypothesis , statistics , semiparametric model , statistical hypothesis testing , monte carlo method , linear regression
. This paper focuses on the problem of testing the null hypothesis that the regression parameter equals a fixed value under a semiparametric partly linear regression model by using a three‐step robust estimate for the regression parameter and the regression function. Two families of tests statistics are considered and their asymptotic distributions are studied under the null hypothesis and under contiguous alternatives. A Monte Carlo study is performed to compare the finite sample behaviour of the proposed tests with the classical one.