Goodness-of-fit tests for functional data

Journal Article

Economic data are frequently generated by stochastic processes that can be modelled as occurring in continuous time. That is, the data are treated as realizations of a random function (functional data). Sometimes an economic theory model specifies the process up to a finite-dimensional parameter. This paper develops a test of the null hypothesis that a given functional data set was generated by a specified parametric model of a continuous-time process. The alternative hypothesis is non-parametric. A random function is a form of infinite-dimensional random variable, and the test presented here a generalization of the familiar Cramér-von Mises test to an infinite dimensional random variable. The test is illustrated by using it to test the hypothesis that a sample of wage paths was generated by a certain equilibrium job search model. Simulation studies show that the test has good finite-sample performance. © Journal compilation © 2009 Royal Economic Society.

Full Text

Duke Authors

Cited Authors

  • Bugni, FA; Hall, P; Horowitz, JL; Neumann, GR

Published Date

  • July 23, 2009

Published In

Volume / Issue

  • 12 / SUPPL. 1

Electronic International Standard Serial Number (EISSN)

  • 1368-423X

International Standard Serial Number (ISSN)

  • 1368-4221

Digital Object Identifier (DOI)

  • 10.1111/j.1368-423X.2008.00266.x

Citation Source

  • Scopus