Nonparametric Selection of Regressors: The Nonnested Case

DOI10.2307/2171929zbMath0860.62039OpenAlexW2035844965MaRDI QIDQ4715551

Quang H. Vuong, Pascal Lavergne

Publication date: 23 April 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171929

zbMATH Keywords

rate of convergenceasymptotic normalityasymptotic efficiencynonparametric regressionresidual variancedirectional testing procedureempirical mean square errorgeneralized nonnested regressionspower and size properties

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10)

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