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 efficiencyasymptotic normalitydirectional testing procedureempirical mean square errorgeneralized nonnested regressionsnonparametric regressionpower and size propertiesrate of convergenceresidual variance

Mathematics Subject Classification ID

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

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Cited in

(31)

• Consistent model specification tests for time series econometric models
• A simple consistent bootstrap test for a parametric regression function
• A note on variable selection in nonparametric regression with dependent data
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
• Significance testing in quantile regression
• Asymptotic normality of a combined regression estimator
• Nonparametric tests for model selection with time series data
• Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
• Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗
• Discriminating between nonnested models
• A nonparametric R^2 test for the presence of relevant variables
• Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
• An integral estimator of residual variance and a measure of explanatory power of covariates in nonparametric regression
• Régression non paramétrique: une approche générale du problème de sélection automatique de modèle
• Semiparametric Specification Testing of Non-nested Econometric Models
• THE CHOICE BETWEEN SETS OF REGRESSORS
• A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
• scientific article; zbMATH DE number 1775014 (Why is no real title available?)
• Nonparametric weighted average quantile derivative
• Significance tests for neural networks
• 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
• Specification tests for time-varying coefficient models
• A corrected Clarke test for model selection and beyond
• Structural test in regression on functional variables
• Asymptotics of K-fold cross validation
• Encompassing tests for nonparametric regressions
• Efficient estimation in dynamic conditional quantile models
• A simple test for regression specification with non-nested alternatives
• Testing for monotonicity under endogeneity: an application to the reservation wage function

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