Abstract
In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We also conduct a small sample study for one of the test statistics through a simulated example.
Original language | English |
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Pages (from-to) | 324-359 |
Number of pages | 36 |
Journal | Journal of Multivariate Analysis |
Volume | 83 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1 Jan 2002 |
Keywords
- Additivity
- Dependent process
- Model determination
- Nonlinear time series
- Nonparametric regression
- Semiparametric autoregression