Additive coefficient model (Xue and Yang, 2006a, 2006b) is a flexible regression and autoregression tool that circumvents the “curse of dimensionality.” We propose spline-backfitted kernel (SBK) and spline-backfitted local linear (SBLL) estimators for the component functions in the additive...

In this paper we propose consistent integrated conditional moment tests for the validity of parametric conditional distribution models, based on the integrated squared difference between the empirical characteristic function of the actual data and the characteristic function implied by the...