Title of article :
Model Specification Tests in Nonparametric Stochastic Regression Models
Author/Authors :
Gao، نويسنده , , Jiti and Tong، نويسنده , , Howell and Wolff، نويسنده , , Rodney، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2002
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 :
Nonlinear time series , Nonparametric regression , semiparametric autoregression , Additivity , dependent process , model determination
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis
