Adelaide Research & Scholarship
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https://hdl.handle.net/2440/46520
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| Type: | Journal article |
| Title: | Model Specification Tests in Nonparametric Stochastic Regression Models |
| Author: | Gao, Jiti Tong, Howell Wolff, Rodney |
| Citation: | Journal of Multivariate Analysis, 2002; 83(2):324-359 |
| Publisher: | Elsevier |
| Issue Date: | 2002 |
| ISSN: | 0047-259X |
| School/Discipline: | School of Economics |
| Statement of Responsibility: | 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 |
| DOI: | 10.1006/jmva.2001.2058 |
| Description (link): | http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description |
| Appears in Collections: | Economics publications |
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