Specification tests in nonparametric regression

DOI10.1016/J.JECONOM.2007.08.008zbMATH Open1418.62156OpenAlexW2003846050MaRDI QIDQ291106FDOQ291106

Authors: John H. J. Einmahl, Ingrid Van Keilegom 

Publication date: 6 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1942/9777

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zbMATH Keywords

bootstrapnonparametric regressionempirical processweak convergencemodel diagnosticslocation-scale regressiontest for independence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• A Non-Parametric Test of Independence
• Robust Statistics
• Consistent nonparametric regression. Discussion
• Non-parametric estimation of the residual distribution
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• Goodness-of-fit tests in parametric regression based on the estimation of the error distribution
• Cramer-von Mises tests for independence
• Estimating linear functionals of the error distribution in nonparametric regression
• Weak and strong uniform consistency of a kernel error density estimator in nonparametric regression
• Density and hazard estimation in censored regression models
• BOOTSTRAP TESTS FOR THE ERROR DISTRIBUTION IN LINEAR AND NONPARAMETRIC REGRESSION MODELS
• Tests for independence in nonparametric regression
• Estimating functionals of the error distribution in parametric and nonparametric regression
• Testing for the equality of \(k\) regression curves

Cited In (38)

• Using a bimodal kernel for a nonparametric regression specification test
• Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic on partly not identically distributed data
• Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach
• A non-parametric test for comparing conditional ROC curves
• Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
• Estimating the conditional error distribution in non-parametric regression
• Goodness-of-fit test for nonparametric regression models: smoothing spline ANOVA models as example
• \(\sqrt{n}\)-uniformly consistent density estimation in nonparametric regression models
• Change-point tests for the error distribution in nonparametric regression
• Specification tests for the distribution of errors in nonparametric regression: a martingale approach
• Testing independence between exogenous variables and unobserved errors
• Tests for the equality of conditional variance functions in nonparametric regression
• Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
• A Smooth Nonparametric, Multivariate, Mixed-Data Location-Scale Test
• Nonparametric location-scale models for censored successive survival times
• Root-\(n\) consistent kernel density estimation in practice
• Estimating the error distribution in nonparametric multiple regression with applications to model testing
• Model specification tests in nonparametric stochastic regression models
• Tests of specification for parametric and semiparametric models
• OPTIMAL MINIMAX RATES FOR NONPARAMETRIC SPECIFICATION TESTING IN REGRESSION MODELS
• Testing independence in nonparametric regression
• Specification testing in nonparametric AR‐ARCH models
• A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS
• A robust test of specification based on order statistics
• Tests for independence in non-parametric heteroscedastic regression models
• Estimating the innovation distribution in nonparametric autoregression
• Frontier estimation in nonparametric location-scale models
• Nonparametric specification testing via the trinity of tests
• Flexible modeling based on copulas in nonparametric median regression
• Quantile regression in varying-coefficient models: non-crossing quantile curves and heteroscedasticity
• Computationally efficient approximations for independence tests in non-parametric regression
• On the performance of nonparametric specification tests in regression models
• A joint test for parametric specification and independence in nonlinear regression models
• Unobserved heterogeneity and endogeneity in nonparametric frontier estimation
• Tests for validity of the semiparametric heteroskedastic transformation model
• Estimating the error distribution in semiparametric transformation models
• Estimation and hypotheses testing in boundary regression models
• A nonparametric test of the non-convexity of regression

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