Specification tests in semiparametric transformation models - a multiplier bootstrap approach

By Kloodt Nick and Neumeyer Natalie
Working Paper (2019)

  • Nick Kloodt

    Universität Hamburg

    Germany

Created

November 19, 2019

Last update

November 19, 2019

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R

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Description

The file CxxLoF_all.R carries out a simulation study for the goodness of fit part of the paper. The test statistics Tn and Vn as well as corresponding asymptotic and bootstrap quantiles are calculated. The _twodim.R file conduces simulations in a two dimesional setting, while the _application file was constructed for an application (both not yet in the paper). The file Cxx_significance_test.R carries out a simulation study for the test of significance of covariates which is presented in Section 4 of the paper. The test statistic as well as corresponding asymptotic and bootstrap quantiles are calculated. The .cpp files are auxiliary files to conduct some parts of the calculations in C++. The file Rejection_Probabilities.R calculates the rejection probabilities of the lack of fit and the significance tests given the corresponding quantiles.

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