Specification tests in semiparametric transformation models — A multiplier bootstrap approach

Semiparametric Bootstrap Prediction Intervals in time Series

One of the main goals of studying the time series is estimation of prediction interval based on an observed sample path of the process. In recent years, different semiparametric bootstrap methods have been proposed to find the prediction intervals without any assumption of error distribution. In semiparametric bootstrap methods, a linear process is approximated by an autoregressive process. The...

Specification Tests for Semiparametric Instrumental Variables

Consistent model-specification tests based on parametric bootstrap

In this paper we establish consistent tests of L2-type for the parametric functional form of the conditional mean of time series with values in Rd. A recent result on asymptotic distributions of U -statistics of weakly dependent observations is invoked to obtain the limit distributions of the test statistics. Since the asymptotic distributions depend on unknown parameters in a complicated way, ...

Consistent Specification Tests for Semiparametric/Nonparametric Models Based on Series Estimation Methods

This paper considers the problem of consistent model specification tests using series estimation methods. The null models we consider in this paper all contain some nonparametric components. A leading case we consider is to test for an additive partially linear model. The null distribution of the test statistic is derived using a central limit theorem for Hilbert valued random arrays. The test ...

Semiparametric transformation models for semicompeting survival data.

Semicompeting risk outcome data (e.g., time to disease progression and time to death) are commonly collected in clinical trials. However, analysis of these data is often hampered by a scarcity of available statistical tools. As such, we propose a novel semiparametric transformation model that improves the existing models in the following two ways. First, it estimates regression coefficients and...