We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...

Suppose that one observes a process Y on the unit interval, where dY(t) = n 1/ 2f(t)dt + dW(t) with an unknown function parameter f, given scale parameter n N 1 ("sample size") and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such...

In the semiparametric additive hazard regression model of McKeague and Sasieni (1994), the hazard contributions of some covariates are allowed to change over time, without parametric restrictions (Aalen model), while the contributions of other covariates are assumed to be constant. In this...

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...