메뉴 건너뛰기




Volumn 103, Issue 484, 2008, Pages 1584-1594

Bandwidth selection in nonparametric kernel testing

Author keywords

Choice of bandwidth parameter; Edgeworth expansion; Nonparametric kernel testing; Power function; Size function

Indexed keywords


EID: 73949154814     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214508000000968     Document Type: Article
Times cited : (108)

References (34)
  • 1
    • 0030369366 scopus 로고    scopus 로고
    • Nonparametric pricing of interest rate derivative securities
    • Aït-Sahalia, Y. (1996), "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, 64, 527-560.
    • (1996) Econometrica , vol.64 , pp. 527-560
    • Aït-Sahalia, Y.1
  • 2
    • 0001179485 scopus 로고    scopus 로고
    • A conditional kolmogorov test
    • Andrews, D. W. (1997), "A Conditional Kolmogorov Test," Econometrica, 65, 1097-1028.
    • (1997) Econometrica , vol.65 , pp. 1097-1028
    • Andrews, D.W.1
  • 3
    • 33646182728 scopus 로고    scopus 로고
    • Empirical comparisons in short-term interest rate models using nonparametric methods
    • Arapis, M., and Gao, J. (2006), "Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods," Journal of Financial Econometrics, 4, 310-345.
    • (2006) Journal of Financial Econometrics , vol.4 , pp. 310-345
    • Arapis, M.1    Gao, J.2
  • 4
    • 0039372662 scopus 로고    scopus 로고
    • Is the short rate drift actually nonlinear?
    • Chapman, D., and Pearson, N. (2000), "Is the Short Rate Drift Actually Nonlinear?" Journal of Finance, 54, 355-388.
    • (2000) Journal of Finance , vol.54 , pp. 355-388
    • Chapman, D.1    Pearson, N.2
  • 6
    • 0033248627 scopus 로고    scopus 로고
    • A consistent text for the functional form of a regression based on a difference of variance estimators
    • Dette, H. (1999), "A Consistent Text for the Functional Form of a Regression Based on a Difference of Variance Estimators," The Annals of Statistics, 27, 1012-1040.
    • (1999) The Annals of Statistics , vol.27 , pp. 1012-1040
    • Dette, H.1
  • 7
    • 1642634064 scopus 로고    scopus 로고
    • Some comments on specification tests in nonparametric absolutely regular processes
    • Dette, H., and Spreckelsen, I. (2004), "Some Comments on Specification Tests in Nonparametric Absolutely Regular Processes," Journal of Time Series Analysis, 25, 159-172.
    • (2004) Journal of Time Series Analysis , vol.25 , pp. 159-172
    • Dette, H.1    Spreckelsen, I.2
  • 8
    • 0030549054 scopus 로고    scopus 로고
    • Test of significance based on wavelet thresholding and neyman's truncation
    • Fan, J. (1996), "Test of Significance Based on Wavelet Thresholding and Neyman's Truncation," Journal of the American Statistical Association, 434, 674-688.
    • (1996) Journal of the American Statistical Association , vol.434 , pp. 674-688
    • Fan, J.1
  • 11
    • 0037361697 scopus 로고    scopus 로고
    • A re-examination of stanton's diffusion estimation with applications to financial model validation
    • Fan, J., and Zhang, C. M. (2003), "A Re-Examination of Stanton's Diffusion Estimation With Applications to Financial Model Validation," Journal of the American Statistical Association, 461, 118-134.
    • (2003) Journal of the American Statistical Association , vol.461 , pp. 118-134
    • Fan, J.1    Zhang, C.M.2
  • 12
    • 0035633948 scopus 로고    scopus 로고
    • Generalized likelihood ratio statistics and wilks phenomenon
    • Fan, J., Zhang, C. M., and Zhang, J. (2001), "Generalized Likelihood Ratio Statistics and Wilks Phenomenon," The Annals of Statistics, 29, 153-193.
    • (2001) The Annals of Statistics , vol.29 , pp. 153-193
    • Fan, J.1    Zhang, C.M.2    Zhang, J.3
  • 13
    • 0037209655 scopus 로고    scopus 로고
    • Some higher-order theory for a consistent nonparametric model specification test
    • Fan, Y., and Linton, O. (2003), "Some Higher-Order Theory for a Consistent Nonparametric Model Specification Test," Journal of Statistical Planning and Inference, 109, 125-154.
    • (2003) Journal of Statistical Planning and Inference , vol.109 , pp. 125-154
    • Fan, Y.1    Linton, O.2
  • 14
    • 0041900030 scopus 로고    scopus 로고
    • Bootstrap of kernel smoothing in nonlinear time series
    • Franke, J., Kreiss, J. P., and Mammen, E. (2002), "Bootstrap of Kernel Smoothing in Nonlinear Time Series," Bernoulli, 8, 1-38.
    • (2002) Bernoulli , vol.8 , pp. 1-38
    • Franke, J.1    Kreiss, J.P.2    Mammen, E.3
  • 15
    • 51249161915 scopus 로고
    • Testing the hypothesis of a general linear model using nonparametric regression estimation
    • Gonzàlez-Manteiga, W., and Cao, R. (1993), "Testing the Hypothesis of a General Linear Model Using Nonparametric Regression Estimation," Test, 2, 161-188.
    • (1993) Test , vol.2 , pp. 161-188
    • Gonzàlez-Manteiga, W.1    Cao, R.2
  • 16
    • 21344496537 scopus 로고
    • Comparing nonparametric versus parametric regression fits
    • Härdle, W., and Mammen, E. (1993), "Comparing Nonparametric Versus Parametric Regression Fits," The Annals of Statistics, 21, 1926-1947.
    • (1993) The Annals of Statistics , vol.21 , pp. 1926-1947
    • Härdle, W.1    Mammen, E.2
  • 18
    • 0040971346 scopus 로고
    • Nonparametric tests of linearity for time series
    • Hjellvik, V., and Tjøstheim, D. (1995), "Nonparametric Tests of Linearity for Time Series," Biometrika, 82, 351-368.
    • (1995) Biometrika , vol.82 , pp. 351-368
    • Hjellvik, V.1    Tjøstheim, D.2
  • 20
    • 0042401396 scopus 로고    scopus 로고
    • Bootstrap methods for markov processes
    • Horowitz, J. (2003), "Bootstrap Methods for Markov Processes," Econometrica, 71, 1049-1082.
    • (2003) Econometrica , vol.71 , pp. 1049-1082
    • Horowitz, J.1
  • 21
    • 0034991055 scopus 로고    scopus 로고
    • An adaptive rate-optimal test of a parametric mean-regression model against a nonparametric alternative
    • Horowitz, J., and Spokoiny, V. (2001), "An Adaptive Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative," Econometrica, 69, 599-631.
    • (2001) Econometrica , vol.69 , pp. 599-631
    • Horowitz, J.1    Spokoiny, V.2
  • 22
    • 0035863105 scopus 로고    scopus 로고
    • Testing for treatment and interaction effects in semiparametric analysis of covariance
    • Hunsberger, S., and Follmann, D. A. (2001), "Testing for Treatment and Interaction Effects in Semiparametric Analysis of Covariance," Statistics in Medicine, 20, 1-19.
    • (2001) Statistics in Medicine , vol.20 , pp. 1-19
    • Hunsberger, S.1    Follmann, D.A.2
  • 23
    • 19744368437 scopus 로고    scopus 로고
    • A nonparametric test for changing trends
    • Juhl, T., and Xiao, Z. (2005), "A Nonparametric Test for Changing Trends," Journal of Econometrics, 127, 179-199.
    • (2005) Journal of Econometrics , vol.127 , pp. 179-199
    • Juhl, T.1    Xiao, Z.2
  • 24
    • 0031496493 scopus 로고    scopus 로고
    • Smoothing parameter selection for power optimality in testing of regression curves
    • Kulasekera, K. B., and Wang, J. (1997), "Smoothing Parameter Selection for Power Optimality in Testing of Regression Curves," Journal of the American Statistical Association, 438, 500-511.
    • (1997) Journal of the American Statistical Association , vol.438 , pp. 500-511
    • Kulasekera, K.B.1    Wang, J.2
  • 25
    • 0000637496 scopus 로고    scopus 로고
    • Consistent model specification tests for time series econometric models
    • Li, Q. (1999), "Consistent Model Specification Tests for Time Series Econometric Models," Journal of Econometrics, 92, 101-147.
    • (1999) Journal of Econometrics , vol.92 , pp. 101-147
    • Li, Q.1
  • 27
    • 0346937817 scopus 로고    scopus 로고
    • A simple consistent bootstrap test for a parametric regression functional form
    • Li, Q., and Wang, S. (1998), "A Simple Consistent Bootstrap Test for a Parametric Regression Functional Form," Journal of Econometrics, 87, 145-165.
    • (1998) Journal of Econometrics , vol.87 , pp. 145-165
    • Li, Q.1    Wang, S.2
  • 28
    • 0141530593 scopus 로고    scopus 로고
    • Edgeworth expansions for semiparametric averaged derivatives
    • Nishiyama, Y., and Robinson, P. (2000), "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, 68, 931-980.
    • (2000) Econometrica , vol.68 , pp. 931-980
    • Nishiyama, Y.1    Robinson, P.2
  • 29
    • 27744577028 scopus 로고    scopus 로고
    • The bootstrap and the edgeworth correction for semiparametric averaged derivatives
    • - (2005), "The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives," Econometrica, 73, 903-948.
    • (2005) Econometrica , vol.73 , pp. 903-948
  • 31
    • 0009126864 scopus 로고
    • Testing linear regression model against nonparametric alternatives
    • Weihrather, G. (1993), "Testing Linear Regression Model Against Nonparametric Alternatives," Metrika, 40, 367-379.
    • (1993) Metrika , vol.40 , pp. 367-379
    • Weihrather, G.1
  • 32
    • 0742289079 scopus 로고    scopus 로고
    • A power comparison between nonparametric regression tests
    • Zhang, C. M., and Dette, H. (2004), "A Power Comparison Between Nonparametric Regression Tests," Statistics & Probability Letters, 66, 289-301.
    • (2004) Statistics & Probability Letters , vol.66 , pp. 289-301
    • Zhang, C.M.1    Dette, H.2
  • 33
    • 0000617856 scopus 로고    scopus 로고
    • A consistent test of functional form via nonparametric estimation techniques
    • Zheng, J. X. (1996), "A Consistent Test of Functional Form via Nonparametric Estimation Techniques," Journal of Econometrics, 75, 263-289.
    • (1996) Journal of Econometrics , vol.75 , pp. 263-289
    • Zheng, J.X.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.