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Consistent Specification Testing Via Nonparametric Series Regression

✍ Scribed by Hong, Yongmiao; White, Halbert


Book ID
121254555
Publisher
John Wiley and Sons
Year
1995
Tongue
English
Weight
572 KB
Volume
63
Category
Article
ISSN
0012-9682

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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.