Model Specification Tests in Nonparametric Stochastic Regression Models

Jiti Gao, Howell Tong and Rodney Wolff

Journal of Multivariate Analysis, 2002, vol. 83, issue 2, 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.

Keywords: additivity; dependent; process; model; determination; nonlinear; time; series; nonparametric; regression; semiparametric; autoregression (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (20)

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