Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models |
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Authors: | Joseph Ngatchou-Wandji |
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Affiliation: | 1. LMNO, CNRS-UMR 6139 and Département de Mathématiques , Université de Caen , Caen, France joseph.ngatchou-wandji@unicaen.fr |
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Abstract: | Using the empirical characteristic function, we derive a Cramér-von Mises test for symmetry of the error distribution in a class of nonlinear parametric heteroscedastic models. We study the convergence of the residual-based empirical distribution function. We establish a functional limit theorem for an empirical process of residuals, and investigate the asymptotic null distribution function of our test statistic. A simulation experiment is conducted to evaluate small-sample performances of our test. |
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Keywords: | Functional limit theorem Heteroscedastic models Symmetry Testing |
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