Nonparametric Selection of Regressors: The Nonnested Case

DOI10.2307/2171929MaRDI QIDQ4715551zbMATH OpenOpenAlexFDO

Authors Pascal Lavergne, Quang Vuong

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

asymptotic normalitynonparametric regressionrate of convergenceasymptotic efficiencyresidual 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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• A note on variable selection in nonparametric regression with dependent data
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• A corrected Clarke test for model selection and beyond
• Specification tests for time-varying coefficient models
• A simple test for regression specification with non-nested alternatives
• Nonparametric weighted average quantile derivative
• Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
• Efficient estimation in dynamic conditional quantile models
• scientific article; zbMATH DE number 7307487 (Why is no real title available?)
• Discriminating between nonnested models
• Asymptotic normality of a combined regression estimator
• Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗
• Testing for monotonicity under endogeneity: an application to the reservation wage function
• THE CHOICE BETWEEN SETS OF REGRESSORS
• An integral estimator of residual variance and a measure of explanatory power of covariates in nonparametric regression
• Nonparametric tests for model selection with time series data
• A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
• Encompassing tests for nonparametric regressions
• Semiparametric Specification Testing of Non-nested Econometric Models
• Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
• scientific article; zbMATH DE number 1775014 (Why is no real title available?)
• Bootstrap non-parametric significance test
• An equality test across nonparametric regressions
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• Asymptotics of K-fold cross validation
• Consistent model specification tests for time series econometric models
• A simple consistent bootstrap test for a parametric regression function

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