Nonparametric model check based on local polynomial fitting

In this paper we propose a consistent model specification test based on local polynomial fitting. The Monte Carlo simulations show that the new test performs favorably with the existing local constant kernel tests.

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Year of publication:	2000
Authors:	Liu, Zhenjun ; Stengos, Thanasis ; Li, Qi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 48.2000, 4, p. 327-334
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005074682