Robust specification testing for rank-based linear regression

Abstract This paper introduces a robust specification test for linear regression built on a rank-score empirical process. The proposed test is distribution-free, easy to implement, and accommodates a broad class of score functions. We derive the asymptotic properties of the test statistics under the null, fixed alternatives, and a sequence of local alternatives. To implement the test in finite samples, we employ a simple multiplier bootstrap procedure with establishing its asymptotic validity. Simulations and an empirical application indicate reliable size and strong power with notable robustness to heavy-tailed errors and outliers.

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Publication Details

Journal
Econometrics Journal
Published
2026-05-01
DOI
https://doi.org/10.1093/ectj/utag014
Primary Topic
Statistical Methods and Inference
Type
article
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article

Robust specification testing for rank-based linear regression

Junjiang Zhong, F L Zhang, Yuhan Ma
Econometrics Journal
Statistical Methods and Inference
article

Robust specification testing for rank-based linear regression

Junjiang Zhong, F L Zhang, Yuhan Ma
article en

Abstract

Abstract This paper introduces a robust specification test for linear regression built on a rank-score empirical process. The proposed test is distribution-free, easy to implement, and accommodates a broad class of score functions. We derive the asymptotic properties of the test statistics under the null, fixed alternatives, and a sequence of local alternatives. To implement the test in finite samples, we employ a simple multiplier bootstrap procedure with establishing its asymptotic validity. Simulations and an empirical application indicate reliable size and strong power with notable robustness to heavy-tailed errors and outliers.

Econometrics Journal
Xiamen University of Technology (CN), Xi'an Jiaotong University (CN)
Openalex Percentile: Top 6%
Statistical Methods and Inference
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