An &-Level Adaptive Test for Regression models via Regressogram Selection.

The authors propose a nonparametric test for white noise hypothesis in a regression model. The test is based on a regressogram estimate, which bin width is selected using a penalty method similar to the AIC, BIC, and C'ps MAllows criteria.

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Year of publication:	1999
Authors:	Guerre, E. ; Lieberman, O.
Subject:	REGRESSION ANALYSIS \| ECONOMETRICS \| TESTING

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Type of publication:	Book / Working Paper
Notes:	37 pages
Classification:	C12 - Hypothesis Testing ; C20 - Econometric Methods: Single Equation Models. General ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671578