A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS

DOI10.1081/ETC-120015787zbMath1033.62038MaRDI QIDQ4443966

Yanqin Fan, Q. Li

Publication date: 2002

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

simulationasymptotic normalitykernel methodwild bootstrapconsistent testsum of squares of residuals

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20)

Related Items (11)

Multidimensional specification test based on non-stationary time series ⋮ Consistent GMM Residuals-Based Tests of Functional Form ⋮ A loss function approach to model specification testing and its relative efficiency ⋮ A nonparametric \(R^2\) test for the presence of relevant variables ⋮ A new nonparametric lack-of-fit test of nonlinear regression in presence of heteroscedastic variances ⋮ Nonparametric estimation of mean-squared prediction error in nested-error regression models ⋮ Testing the suitability of polynomial models in errors-in-variables problems ⋮ Powerful tests for structural changes in volatility ⋮ Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series ⋮ Goodness-of-fit tests for functional data ⋮ A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS

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