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Local and omnibus goodness-of-fit tests in classical measurement error models

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Summary. 

We consider functional measurement error models, i.e. models where covariates are measured with error and yet no distributional assumptions are made about the mismeasured variable. We propose and study a score-type local test and an orthogonal series-based, omnibus goodness-of-fit test in this context, where no likelihood function is available or calculated—i.e. all the tests are proposed in the semiparametric model framework. We demonstrate that our tests have optimality properties and computational advantages that are similar to those of the classical score tests in the parametric model framework. The test procedures are applicable to several semiparametric extensions of measurement error models, including when the measurement error distribution is estimated non-parametrically as well as for generalized partially linear models. The performance of the local score-type and omnibus goodness-of-fit tests is demonstrated through simulation studies and analysis of a nutrition data set.
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Keywords: Efficient estimation; Efficient testing; Errors in variables; Goodness-of-fit tests; Local alternatives; Measurement error; Score testing; Semiparametric models

Document Type: Research Article

Affiliations: 1: Texas A&M University, College Station, USA 2: US Census Bureau, Suitland, USA

Publication date: 01 January 2011

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