Robust Tests in Semiparametric Partly Linear Models

Abstract.  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.