Asymptotic expansion for Lack-of-Fit test under nonnormality

• Matsumoto Chieko

  Institute of Economic Research, Hitotsubashi University

• Wakaki Hirofumi

  Department of Mathematics, Graduate School of Science, Hiroshima University

Abstract

It is shown that the Lack-of-Fit test can be considered as the likelihood ratio test on the mean structure for some linear model. The asymptotic expansion of the null distribution of the test statistic is derived up to order $n^{-1}$ under nonnormality. A certain robustness against nonnormality is also investigated.

Journal

• Hiroshima mathematical journal

  Hiroshima mathematical journal 36 (1), 29-38, 2006-03

  Hiroshima University

Details

• CRID: 1572824501810506880
• NII Article ID: 110004455833
• NII Book ID: AA00664323
• ISSN: 00182079
• Text Lang: en
• Data Source:
  • CiNii Articles