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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|Item Type:||Journal Article|
|Additional Information:||For more information, please refer to the journal's website (see hypertext link) or contact the author. Author contact details: email@example.com|
|Keywords:||additivity, dependent process, model determination, nonlinear time series, nonparametric regression, semiparametric autoregression|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2002 Elsevier|
|Deposited On:||03 Jul 2007|
|Last Modified:||05 Jan 2011 13:31|
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