Model specification tests in nonparametric stochastic regression models

Jiti Gao; Howell Tong; Rodney Wolff

doi:10.1006/jmva.2001.2058

Model specification tests in nonparametric stochastic regression models

Jiti Gao, Howell Tong, Rodney Wolff

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

16 Citations (Scopus)

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
Pages (from-to)	324-359
Number of pages	36
Journal	Journal of Multivariate Analysis
Volume	83
Issue number	2
DOIs	https://doi.org/10.1006/jmva.2001.2058
Publication status	Published - 1 Jan 2002

Keywords

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

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10.1006/jmva.2001.2058

Cite this

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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.",

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KW - Dependent process

KW - Model determination

KW - Nonlinear time series

KW - Nonparametric regression

KW - Semiparametric autoregression

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Model specification tests in nonparametric stochastic regression models

Abstract

Keywords

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