Specification tests in nonparametric regression
نویسندگان
چکیده
منابع مشابه
On the performance of nonparametric specification tests in regression models
Some recently developed nonparametric specification tests for regression models are described in a unified way. The common characteristic of these tests is that they are consistent against any alternative hypothesis. The performance of the test statistics is compared by means of Monte Carlo simulations, analysing how heteroskedasticity, number of regressors and bandwidth selection influence the...
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Proof of (2.17) From (2.10) we have with high probability for large n and uniformly in x and y √ n(F n (x, y) − ˆ F X (x) ˆ G(y)) ≤ α n x, y + log 2 n n − G(y)α n (x, ∞) − ˆ F X (x) α n ∞, y − log 2 n n + 2C log 2 n √ n , √ n(F n (x, y) − ˆ F X (x) ˆ G(y)) ≥ α n x, y − log 2 n n − G(y)α n (x, ∞) − ˆ F X (x) α n ∞, y + log 2 n n − 2C log 2 n √ n. Set V n,0 = √ n(F n − ˆ F X ˆ G). From (2.12) and...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2008
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2007.08.008