Debiased score test for goodness of fit

Debiased score test for goodness of fit

Usage

gof_test(object, ...)

Arguments

object

A fitted model object. Methods are provided for glm, lm and mgcv::gam fits.

...

Additional arguments passed to the dispatched method.

Value

An object of class "dScoreTest": a list whose key elements are the debiased test statistic t.stat and the one-sided p-value p.val (right tail of the standard normal), along with the test-set score residuals, the hunted direction, and the call. It has print, summary and plot methods.

See also

gof_test.glm, gof_test.lm, gof_test.gam, compare_models, dScoreTest

Examples

 set.seed(42)
 n <- 500
 X <- matrix(rnorm(n * 3), nrow = n)
 # log(E[y]) ~ X well-specified
 y0 <- 5 * exp(X[,1] + X[,3]) + rnorm(n) * 3
 fit.0 <- glm(y0 ~ X, family = gaussian(link = "log"), start=rep(1,4))
 gof_test(fit.0)
#> Debiased score test: 
#> y ~ X, with X consists of (Intercept), X1, X2, X3.
#> (hunt.style = optimal, hunt.method = grf)
#> n = 500, two-way split: hunt = 250, debias & test = 250
#> 
#> T = -0.2426, p-value = 0.595837
 # log(E[y]) ~ X misspecified
 y1 <- y0 + exp(6 * cos(X[,1]/6)^2) / sqrt(n)
 fit.1 <- glm(y1 ~ X, family = gaussian(link = "log"), start=rep(1,4))
 gof_test(fit.1)
#> Debiased score test: 
#> y ~ X, with X consists of (Intercept), X1, X2, X3.
#> (hunt.style = optimal, hunt.method = grf)
#> n = 500, two-way split: hunt = 250, debias & test = 250
#> 
#> T = 9.0599, p-value = 6.53019e-20