Journal ArticleDOI
A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models
TLDR
In this paper, a general framework for specification testing of the regression function in a nonparametric smoothing estimation context is proposed, which can be applied to cases as varied as testing for omission of variables, testing certain nonlinear restrictions in the regressors, and testing the correct specification of some parametric or semiparametric model of interest.Abstract:
This paper proposes a general framework for specification testing of the regression function in a nonparametric smoothing estimation context. The same analysis can be applied to cases as varied as testing for omission of variables, testing certain nonlinear restrictions in the regressors, and testing the correct specification of some parametric or semiparametric model of interest, for example, testing a certain type of nonlinearity of the regression function. Furthermore, the test can be applied to i.i.d. and time-series data, and some or all of the regressors are allowed to be discrete. A Monte Carlo simulation is used to assess the performance of the test in small and medium samples.read more
Citations
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Journal ArticleDOI
Consistent model specification tests : Omitted variables and semiparametric functional forms
Yanqin Fan,Qi Li +1 more
TL;DR: In this paper, the Central Limit Theorem for degenerate U-statistics of order higher than two is used to construct consistent tests in the context of a nonparametric regression model, such as the significance of a subset of regressors and the specification of the semiparametric functional form of the regression function.
Journal ArticleDOI
An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
TL;DR: In this paper, the authors developed a new test of a parametric model of a conditional mean function against a nonparametric alternative, which adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric models converges to zero at the fastest possible rate.
Journal ArticleDOI
Consistent specification testing with nuisance parameters present only under the alternative
TL;DR: The nonparametric and the nuisance parameter approaches to consistently testing statistical models are both attempts to estimate topological measures of distance between a parametric and a non-parametric fit, and neither dominates in experiments as mentioned in this paper.
Journal ArticleDOI
Asymptotic theory of integrated conditional moment tests
TL;DR: In this paper, the authors derived the asymptotic distribution of the test statistic of a generalized version of the integrated conditional moment (ICM) test under a class of Vn-local alternatives, where n is the sample size.
Journal ArticleDOI
Constistent specification testing via nonparametric series regression
Yongmiao Hong,Halbert White +1 more
TL;DR: In this article, the authors propose two consistent one-sided specification tests for parametric regression models, one based on the sample covariance between the residual from the parametric model and the discrepancy between parametric and nonparametric fitted values, and the other based on a difference in sums of squared residuals between the parameterized and non-parametric models, which can be viewed as a test of the joint hypothesis that the true parameters of a series regression model are zero.
References
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Journal ArticleDOI
On Estimation of a Probability Density Function and Mode
TL;DR: In this paper, the problem of the estimation of a probability density function and of determining the mode of the probability function is discussed. Only estimates which are consistent and asymptotically normal are constructed.
Journal ArticleDOI
Remarks on Some Nonparametric Estimates of a Density Function
TL;DR: In this article, some aspects of the estimation of the density function of a univariate probability distribution are discussed, and the asymptotic mean square error of a particular class of estimates is evaluated.
Journal ArticleDOI
On Estimating Regression
TL;DR: In this article, a study is made of certain properties of an approximation to the regression line on the basis of sampling data when the sample size increases unboundedly, i.e.
Book
Applied Nonparametric Regression
TL;DR: This chapter discusses smoothing in high Dimensions, Investigating multiple regression by additive models, and incorporating parametric components and alternatives.
Related Papers (5)
Consistent model specification tests : Omitted variables and semiparametric functional forms
Yanqin Fan,Qi Li +1 more