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|Title:||Model Specification Tests in Nonparametric Stochastic Regression Models|
|Citation:||Journal of Multivariate Analysis, 2002; 83(2):324-359|
|School/Discipline:||School of Economics|
|Jiti Gao, Howell Tong and Rodney Wolff|
|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|
|Appears in Collections:||Economics publications|
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