Testing parametric conditional distributions using the nonparametric smoothing method

DOI10.1007/S00184-010-0336-2MaRDI QIDQ453724zbMATH OpenOpenAlexFDO

Authors Xu Zheng

Publication date 27 September 2012

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-010-0336-2

zbMATH Keywords

bootstrapgoodness-of-fit testlocal alternativesMonte Carlo simulationsnonparametric smoothing methodparametric conditional distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10)

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Cites work

• A Conditional Kolmogorov Test
• A consistent test of conditional parametric distributions
• A quadratic measure of deviation of two-dimensional density estimates and a test of independence
• Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• Nonparametric smoothing and lack-of-fit tests
• On some global measures of the deviations of density function estimates
• Semiparametric Estimation of Index Coefficients
• Tailor-made tests for goodness of fit to semiparametric hypotheses
• Test Statistics Derived as Components of Pearson's Phi-Squared Distance Measure
• Testing for discrete choice models
• Testing goodness of fit via nonparametric function estimation techniques
• The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit

Cited in

(10)

• Smoothed nonparametric tests and approximations of \(p\)-values
• A global test of goodness-of-fit for the conditional distribution function
• A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS
• Constructing smooth tests without estimating the eigenpairs of the limiting process
• A consistent test of conditional parametric distributions
• Consistent tests for semiparametric conditional independence
• A smooth nonparametric conditional density test for categorical responses
• Test for model selection using Cramér-von Mises distance in a fixed design regression setting
• Nonparametric goodness-of-fit testing for a continuous multivariate parametric model
• A scalable nonparametric specification testing for massive data

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