Adaptive testing using data-driven method selecting smoothing parameters

DOI10.1016/J.ECONLET.2022.110538MaRDI QIDQ2158395zbMATH OpenOpenAlexFDO

Authors Luya Wang

Publication date 26 July 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110538

zbMATH Keywords

adaptive testingkernel methodsmoothing parameter selection

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• A consistent nonparametric test of parametric regression models under conditional quantile restrictions
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• A simple consistent bootstrap test for a parametric regression function
• An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
• Asymptotic Theory of Integrated Conditional Moment Tests
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• Consistent model specification tests
• Consistent model specification tests. (Kernel-based tests versus Bierens' ICM tests)
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Consistent Specification Testing Via Nonparametric Series Regression
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
• NONPARAMETRIC SIGNIFICANCE TESTING
• Powerful nonparametric checks for quantile regression
• Significance testing in nonparametric regression based on the bootstrap.
• Specification tests of parametric dynamic conditional quantiles

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