"Smooth tests of goodness of fit for the distributional assumption of r" by J. C.W. Rayner, Paul Rippon et al.
We focus on regression models that consist of (i) a model for the conditional mean of the outcome and (ii) a distributional assumption about the distribution of the outcome, both conditional on the regressors. Generalised linear models form a well-known example. The choice of the outcome distribution is often motivated by prior or background knowledge of the researcher, or it is simply chosen for convenience. We propose smooth goodness of fit tests for testing the distributional assumption in regression models. The tests arise from embedding the regression model in a smooth family of alternati...
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