Consistent Model Specification test for Regression Function Based on Nonparametric Wavelet Estimation
AbstractIn this poper we present a consistent spacification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation ant it is shown to have similar rates of convergence to the more commonly used kernel based tests.
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Bibliographic InfoPaper provided by University of Guelph, Department of Economics and Finance in its series Working Papers with number 1997-3.
Length: 18 pages
Date of creation: 1997
Date of revision:
REGRESSION ANALYSIS ; ECONOMIC MODELS ; EVALUATION;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Sun, Y., 2003.
"A Consistent Nonparametric Equality Test of Conditional Quantile Functions,"
2003-10, University of Guelph, Department of Economics and Finance.
- Sun, Yiguo, 2006. "A Consistent Nonparametric Equality Test Of Conditional Quantile Functions," Econometric Theory, Cambridge University Press, vol. 22(04), pages 614-632, August.
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