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Model Specification Tests in Nonparametric Stochastic Regression Models |
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| Authors: | Jiti Gao Howell Tong Rodney Wolff |
| Institution: | a The University of Western Australia, Nedlands, Australia;b The University of Hong Kong, Hong Kong, China;c The London School of Economics, London, United Kingdom;d The University of Queensland, Queensland, Australia |
| 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: | additivity dependent process model determination nonlinear time series nonparametric regression semiparametric autoregression |
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