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- Title
Goodness-of-fit tests for functional data.
- Authors
BUGNI, FEDERICO A.; HALL, PETER; HOROWITZ, JOEL L.; NEUMANN, GEORGE R.
- Abstract
Economic data are frequently generated by stochastic processes that can be modelled as occurring in continuous time. That is, the data are treated as realizations of a random function (functional data). Sometimes an economic theory model specifies the process up to a finite-dimensional parameter. This paper develops a test of the null hypothesis that a given functional data set was generated by a specified parametric model of a continuous-time process. The alternative hypothesis is non-parametric. A random function is a form of infinite-dimensional random variable, and the test presented here a generalization of the familiar Cramér-von Mises test to an infinite dimensional random variable. The test is illustrated by using it to test the hypothesis that a sample of wage paths was generated by a certain equilibrium job search model. Simulation studies show that the test has good finite-sample performance.
- Subjects
STOCHASTIC processes; RANDOM variables; ECONOMICS; MATHEMATICAL statistics; PROBABILITY theory; MULTIVARIATE analysis
- Publication
Econometrics Journal, 2009, Vol 12, pS1
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2008.00266.x