EDF tests of goodness of fit for transform‐both‐sides models

Very often in regression analysis, a particular functional form connecting known covariates and unknown parameters is either suggested by previous work or demanded by theoretical considerations so that the deterministic part of the responses has a known form. However, the underlying error structure is often less well understood. In this case, the transform‐both‐sides (TBS) models are appropriate. In this paper we generalize the usual TBS models and develop tests to assess goodness of fit when fitting TBS or GTBS models. Parameter estimation is discussed, and tests based on the Cramér‐von Mises statistic and the Anderson‐Darling statistic are presented with a table suitable for finite‐sample applications.