On Variance Components in Semiparametric Mixed Models for Longitudinal Data

Abstract

. First, to test the existence of random effects in semiparametric mixed models (SMMs) under only moment conditions on random effects and errors, we propose a very simple and easily implemented non-parametric test based on a difference between two estimators of the error variance. One test is consistent only under the null and the other can be so under both the null and alternatives. Instead of erroneously solving the non-standard two-sided testing problem, as in most papers in the literature, we solve it correctly and prove that the asymptotic distribution of our test statistic is standard normal. This avoids Monte Carlo approximations to obtain p-values, as is needed for many existing methods, and the test can detect local alternatives approaching the null at rates up to root n. Second, as the higher moments of the error are necessarily estimated because the standardizing constant involves these quantities, we propose a general method to conveniently estimate any moments of the error. Finally, a simulation study and a real data analysis are conducted to investigate the properties of our procedures.