A nonparametric bootstrap test of conditional distributions

Econometric Theory

Volumn 22, Issue 4, 2006, Pages 587-613

  Fan, Yanqin ^a   Li, Qi ^b   Min, Insik ^c  

^a VANDERBILT UNIVERSITY   (United States)

^b TEXAS A AND M UNIVERSITY   (United States)

^c Kyung Hee University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33745670870     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466606060294     Document Type: Article

References (25)

1. Aitchison, J. & C.G.G. Aitken (1976) Multivariate binary discrimination by the kernel method. Biometrika 63, 413-420.
2. Andrews, D.W.K. (1997) A conditional Kolmogorov test. Econometrica 65, 1097-1128.
3. Bhattacharya, R.N. & R.R. Rao (1986) Normal Approximations and Asymptotic Expansions. Krieger.
4. Bierens, H.J. & W. Ploberger (1997) Asymptotic theory of integrated conditional moment tests. Econometrica 65, 1129-1151.
5. Billingsley, P. (1968) Probability and Measure. Wiley.
6. Corradi, V. & N. Swanson (2004) Bootstrap conditional distribution tests under dynamic misspecification. Journal of Econometrics, forthcoming.
7. de Jong, R.M. (1996) The Bierens test under data dependence. Journal of Econometrics 72, 1-32.
8. Delgado, M.A. & W.G. Manteiga (2001) Significance testing in nonparametric regression based on the bootstrap. Annals of Statistics 29, 1469-1507.
9. Diebold, F.X., T. Gunther, & A.S. Tay (1998) Evaluating density forecasts with applications to financial risk management. International Economic Review 39, 863-883.
10. Fan, Y. (1994) Testing the goodness-of-fit of a parametric density function by kernel method. Econometric Theory 10, 316-356.
11. Fan, Y. (1997) Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function. Journal of Multivariate Analysis 62, 36-63.
12. Fan, Y. (1998) Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters. Econometric Theory 14, 604-621.
13. Fan, Y. & Q. Li (1996) Consistent model specification tests: Omitted variables and semi-parametric functional forms. Econometrica 64, 865-890.
14. Fan, Y. & Q. Li (2000) Consistent model specification tests: Nonparametric versus Bierens' ICM tests. Econometric Theory 16, 1016-1041.
15. Hall, P. (1984) Central limit theorem for integrated square error of multivariate nonparametric density estimators. Journal of Multivariate Analysis 14, 1-16.
16. Hall, P., J. Racine, & Q. Li (2004) Cross-validation and the estimation of conditional probability densities. Journal of the American Statistical Association 99, 1015-1026.
17. Hong, Y. & H. White (1996) Consistent specification testing via nonparametric series regression. Econometrica 63, 1133-1159.
18. Ichimura, H. (2000) Asymptotic Distribution of Non-parametric and Semiparametric Estimators with Data Dependent Smoothing Parameters. Manuscript, University College, London.
19. Kullback, S. & R.A. Leibler (1951) On information and sufficiency. Annals of Mathematical Statistics 22, 79-86.
20. Li, F. & G. Tkacz (2004) A consistent bootstrap test for conditional density functions with time-dependent data. Journal of Econometrics, forthcoming.
21. Mammen, E. (1992) When does bootstrap work? Asymptotic results and simulations. Springer-Verlag.
22. 2 bracketing. Annals of Probability 15, 897-919.
23. Powell, J.L., J.H. Stock, & T.M. Stoker (1989) Semiparametric estimation of index coefficients. Econometrica 57, 1403-1430.
24. Wooldridge, J. (1992) A test for functional form against nonparametric alternatives. Econometric Theory 8, 452-475.
25. Zheng, J.X. (2000) A consistent test of conditional parametric distributions. Econometric Theory 16, 667-691.