Model Specification Tests in Nonparametric Stochastic Regression Models

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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Year of publication:	2002
Authors:	Gao, Jiti ; Tong, Howell ; Wolff, Rodney
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 83.2002, 2, p. 324-359
Publisher:	Elsevier
Keywords:	additivity dependent process model determination nonlinear time series nonparametric regression semiparametric autoregression

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160645