Model specification tests in nonparametric stochastic regression models

Jiti Gao, Howell Tong, Rodney Wolff

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19 Citations (Scopus)


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 languageEnglish
Pages (from-to)324-359
Number of pages36
JournalJournal of Multivariate Analysis
Issue number2
Publication statusPublished - 1 Jan 2002


  • Additivity
  • Dependent process
  • Model determination
  • Nonlinear time series
  • Nonparametric regression
  • Semiparametric autoregression

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