Goodness-of-fit tests for stochastic frontier models based on the characteristic function
Statistics Theory
2022-03-01 v1 Statistics Theory
Abstract
We consider goodness-of-fit tests for the distribution of the composed error in Stochastic Frontier Models. The proposed test statistic utilizes the characteristic function of the composed error term, and is formulated as a weighted integral of properly standardized data. The new test statistic is shown to be consistent and computationally convenient. Simulation results are presented whereby resampling versions of the new tests are compared to classical goodness-of-fit methods.
Cite
@article{arxiv.2202.13445,
title = {Goodness-of-fit tests for stochastic frontier models based on the characteristic function},
author = {Simos G. Meintanis and Christos K. Papadimitriou},
journal= {arXiv preprint arXiv:2202.13445},
year = {2022}
}
Comments
15 pages, 6 tables