Model specification tests in nonparametric stochastic regression models
Gao, Jiti, Tong, Howell, & Wolff, Rodney C. (2002) Model specification tests in nonparametric stochastic regression models. Journal of Multivariate Analysis, 83(2), pp. 324-359.
Abstract
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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| ID Code: | 8422 |
|---|---|
| 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: r.wolff@qut.edu.au |
| Keywords: | additivity, dependent process, model determination, nonlinear time series, nonparametric regression, semiparametric autoregression |
| DOI: | 10.1006/jmva.2001.2058 |
| ISSN: | 0047-259X |
| 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 23:31 |
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