A note on variable selection in nonparametric regression with dependent data
AbstractWe develop a nonparametric test, based on kernel smoothers, in order to decide whether some covariates could be suppressed in a multidimensional nonparametric regression study. We give the asymptotic distribution of the statistic involved in our test, under a general dependence assumption on the sample that allows for application to time series prediction.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 57 (2002)
Issue (Month): 3 (April)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bierens, H.J., 1989.
"A consistent conditional moment test of functional form,"
Serie Research Memoranda
0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
- Lavergne, Pascal & Vuong, Quang H, 1996.
"Nonparametric Selection of Regressors: The Nonnested Case,"
Econometric Society, vol. 64(1), pages 207-19, January.
- Lavergne, P. & Vuong, Q., 1992. "Nonparametric Selection of Regressors : the Nonnested Case," Papers 9204, Southern California - Department of Economics.
- Horowitz, Joel L. & Härdle, Wolfgang, 1994.
"Testing a Parametric Model Against a Semiparametric Alternative,"
Cambridge University Press, vol. 10(05), pages 821-848, December.
- Horowitz, J.L. & Hardle, W., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Working Papers 92-06, University of Iowa, Department of Economics.
- Horowitz, J. & Hardle, W., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Discussion Paper 1992-19, Tilburg University, Center for Economic Research.
- Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
- Kozek, Andrzej S., 1991. "A nonparametric test of fit of a parametric model," Journal of Multivariate Analysis, Elsevier, vol. 37(1), pages 66-75, April.
- Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
- Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
- Laurent Delsol, 2013. "No effect tests in regression on functional variable and some applications to spectrometric studies," Computational Statistics, Springer, vol. 28(4), pages 1775-1811, August.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Debbarh, Mohammed & Viallon, Vivian, 2008. "Testing additivity in nonparametric regression under random censorship," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2584-2591, November.
- Delsol, Laurent & Ferraty, Frédéric & Vieu, Philippe, 2011. "Structural test in regression on functional variables," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 422-447, March.
- Avalos, Marta & Grandvalet, Yves & Ambroise, Christophe, 2007. "Parsimonious additive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2851-2870, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.