Model specification tests in nonparametric stochastic regression models
[摘要] 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. (C) 2002 Elsevier Science (USA).
[发布日期] 2002-11-01 [发布机构]
[效力级别] [学科分类]
[关键词] additivity;dependent process;model determination;nonlinear time series;nonparametric regression;semiparametric autoregression [时效性]
