Robust Tests in Regression Models With Omnibus Alternatives and Bounded Influence
具有广泛备择与有界影响的稳健回归检验
A robust approach for testing the parametric form of a regression function versus an omnibus alternative is introduced. This generalizes existing robust methods for testing subhypotheses in a regression model. The new test is motivated by developments in modern smoothing-based testing procedures and can be viewed as a robustification of a smoothing-based conditional moment test. It is asymptotically normal under both the null hypothesis and local alternatives. The…