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Model Specification Tests in Nonparametric Stochastic Regression Models

✍ Scribed by Jiti Gao; Howell Tong; Rodney Wolff

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
235 KB
Volume
83
Category
Article
ISSN
0047-259X

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✦ Synopsis

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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