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

19 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

Access to Document

10.1006/jmva.2001.2058

Cite this

@article{4d0f18a7c3634b35b83673bfb232fe54,

title = "Model specification tests in nonparametric stochastic regression models",

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.",

keywords = "Additivity, Dependent process, Model determination, Nonlinear time series, Nonparametric regression, Semiparametric autoregression",

author = "Jiti Gao and Howell Tong and Rodney Wolff",

year = "2002",

month = jan,

day = "1",

doi = "10.1006/jmva.2001.2058",

language = "English",

volume = "83",

pages = "324--359",

journal = "Journal of Multivariate Analysis",

issn = "0047-259X",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Model specification tests in nonparametric stochastic regression models

AU - Gao, Jiti

AU - Tong, Howell

AU - Wolff, Rodney

PY - 2002/1/1

Y1 - 2002/1/1

N2 - 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.

AB - 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.

KW - Additivity

KW - Dependent process

KW - Model determination

KW - Nonlinear time series

KW - Nonparametric regression

KW - Semiparametric autoregression

UR - http://www.scopus.com/inward/record.url?scp=0036857532&partnerID=8YFLogxK

U2 - 10.1006/jmva.2001.2058

DO - 10.1006/jmva.2001.2058

M3 - Article

AN - SCOPUS:0036857532

SN - 0047-259X

VL - 83

SP - 324

EP - 359

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

IS - 2

ER -

Model specification tests in nonparametric stochastic regression models

Abstract

Keywords

Access to Document

Other files and links

Cite this