Goodness-of-fit tests in semi-linear models

Specification tests for the error distribution are proposed in semi–linear models, including the partial linear model and additive models. The tests utilize an integrated distance involving the empirical characteristic function of properly estimated residuals. These residuals are obtained from an initial estimation step involving a combination of penalized least squares and smoothing techniques. A bootstrap version of the tests is utilized in order to study the small sample behavior of the procedures in S. Meintanis Department of Economics, National and Kapodistrian University of Athens, 8 Pesmazoglou Street, 105 59 Athens, Greece J. Einbeck (corresponding author) Department of Mathematical Sciences, Durham University, South Road, Science Laboratories, DH1 3LE, Durham City, UK Tel.: +44-191-3343125 Fax: +44-191-3343051 E-mail: [email protected] 2 comparison with more classical approaches. As an example, the tests are applied on some real data sets.