Nonparametric tests for model selection with time series data

Test

Volumn 8, Issue 2, 1999, Pages 365-398

  Hidalgo, Javier ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Goodness of fit tests; Kernel curve estimation; Selection of variables

Indexed keywords

EID: 0012470758     PISSN: 11330686     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02595876     Document Type: Article

References (31)

1. Aït-Sahalia, Y., P.J. Bickel, and T.M. Stoker (1998). Goodness-of-fit test for regression using kernel methods. Preprint.
2. Atkinson, A.C. (1970). A method for discriminating between models. Journal of the Royal Statistical Society, B, 32, 323-345.
3. Bickel, P.J. and M. Rosenblatt (1973). On some global measures of the deviations of density estimators. Annals of Statistics, 1, 1071-1095.
4. Bierens, H.J. (1990). A consistent conditional moment test of functional form. Econometrica, 58, 1443-1458.
5. Bierens, H.J. and W. Ploberger (1997). Asymptotic theory of integrated conditional moment tests. Econometrica, 65, 1129-1151.
6. Brillinger, D.R (1981). Time Series: Data Analysis and Theory. McGraw-Hill, New York.
7. Cox, D.R. (1961). Test of separate families of hypothesis. Proceedings of the 4th Berkeley Symposium, 1, 105-123.
8. Cox, D.R. (1962). Further results on test for separate families of hypothesis. Journal of the Royal Statistical Society, B, 24, 406-424.
9. Davidson, R. and J. MacKinnon (1981). Several tests for model specification in the presence of alternative hypotheses. Econometrica, 49, 781-793.
10. Delgado, M. and T. Stengos (1994). Semiparametric specification testing of nonnested models. Review of Economic Studies, 61, 291-303.
11. Doksum, K. and A. Samarov (1995). Nonparametric estimation of global functionals and a measure of the explanatory power of covariates in regression. Annals of Statistics, 23, 1443-1473.
12. Doukhan, P. (1995). Mixing: Properties and Examples. Lecture Notes in Statistics. Springer-Verlag, Berlin.
13. Eubank, R.L. and C.H. Spiegelman (1990). Testing the goodness of fit of a linear model via nonparametric regression techniques. Journal of the American Statistical Association, 85, 387-392.
14. Fan, Y. and Q. Li (1996). Consistent model specification tests: Omitted variables and semiparametric functional forms. Econometrica, 64, 865-890.
15. Györfy, L., W. Härdle, P. Sarda and P. Vieu (1989). Nonparametric Curve Estimation from Time Series. Lecture Notes in Statistics. Springer-Verlag, Berlin.
16. Hall, P. (1984). Central limit theorem for integrated square error of multivariate nonparametric density estimators. Journal of Multivariate Analysis, 14, 1-16.
17. Härdle, W. and E. Mammen (1993). Comparing nonparametric versus parametric regression fits. Annals of Statistics, 21, 1926-1947.
18. Harel, M. and M.L. Puri (1990). Weak invariance of generalized U-statistics for nonstationary absolute regular processes. Stochastic Processes and their Applications, 59, 341-360.
19. Hidalgo, J. (1995). A nonparametric conditional moment test for structural stability. Econometric Theory, 11, 671-698.
20. Hong, Y. and H. White (1995). Consistent specification testing via nonparametric series regressions. Econometrica, 63, 1133-1159.
21. Lavergne, P. and Q. Vuong (1996). Nonparametric selection of regressors: The nonnested case. Econometrica, 64, 207-219.
22. Robinson, P.M. (1988). Root-N-consistency semiparametric regression. Econometrica, 56, 931-954.
23. Robinson, P.M. (1991). Consistent nonparametric Entropy-based testing. Review of Economics Studies, 58, 437-454.
24. Silverman, B.W. (1986). Density Estimation. Chapman and Hall, London.
25. Whang, Y.J. and D.W.K. Andrews (1993). Tests of specification for parametric and semiparametric models. Journal of Econometrics, 57, 277-318.
26. Wolkonski, V.A. and Y.A. Rozanov (1959). Some limit theorems for random functions, Part I. Theory of Probability and Applications, 4, 178-197.
27. Wooldridge, J.M. (1992). A test for functional form against nonparametric alternatives. Econometric Theory, 8, 435-451.
28. Yatchew, A.J. (1992). Nonparametric regression test based on least squares. Econometric Theory, 8, 452-475.
29. Yoshihara, K. (1976). Limiting behaviour of U-statistics for stationary absolutely regular processes. Z. Wahrscheinlichkeitheorie Verwandte Gebiete, 35, 237-252.
30. Zhang, P. (1991). Variable selection in nonparametric regression with continuous covariates. Annals of Statistics, 19, 1869-1882.
31. Zheng, J.X. (1996). A consistent test of functional form via nonparametric estimation techniques. Journal of Econometrics, 75, 263-289.