Some comments on specification tests in nonparametric absolutely regular processes

DOI10.1111/J.1467-9892.2004.00343.XzbMath1051.62043OpenAlexW3123936554MaRDI QIDQ4828175

Ingrid Spreckelsen, Dette, Holger

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/5270

zbMATH Keywords

goodness-of-fit test\(U\)-statisticasymptotic equivalencenonparametric autoregressive model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Related Items (11)

Testing the Markov property with high frequency data ⋮ Testing for a constant coefficient of variation in nonparametric regression ⋮ Nonparametric specification for non-stationary time series regression ⋮ Expansion for moments of regression quantiles with applications to nonparametric testing ⋮ A bootstrap test for the comparison of nonlinear time series ⋮ Inference of time-varying regression models ⋮ Nonparametric regression with multiple thresholds: estimation and inference ⋮ Semiparametric quantile regression estimation in dynamic models with partially varying coefficients ⋮ Goodness-of-Fit Tests for Multiplicative Models with Dependent Data ⋮ A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model ⋮ Model checking for parametric regressions with response missing at random

Uses Software

• KernSmooth

Cites Work

• A consistent test of functional form via nonparametric estimation techniques
• Linearity testing using local polynomial approximation
• Mixing: Properties and examples
• Regression-type inference in nonparametric autoregression
• Central limit theorems for sums of α-mixing random variables
• A note on a specification test of independence.

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