Optimal Minimax Rates For Nonparametric Specification Testing In Regression Models
Download full text from publisher
References listed on IDEAS
- Pfanzagl, J. & Wefelmeyer, W., 1978. "A third-order optimum property of the maximum likelihood estimator," Journal of Multivariate Analysis, Elsevier, vol. 8(1), pages 1-29, March.
- Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
- Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-548, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Juan M. Rodríguez-Póo & Stefan Sperlich & Philippe Vieu, 2012. "A Practical Test for Misspecification in Regression: Functional Form, Separability and Distribution," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 12093, Institut d'Economie et Econométrie, Université de Genève.
- Horowitz, Joel L. & Lee, Sokbae, 2009.
"Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative,"
Journal of Econometrics,
Elsevier, vol. 152(2), pages 141-152, October.
- Joel L. Horowitz & Sokbae Lee, 2007. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," CeMMAP working papers CWP02/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Pascal Lavergne & Valentin Patilea, 2011.
"One for All and All for One: Regression Checks With Many Regressors,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, pages 41-52.
- Pascal Lavergne & Valentin Patilea, 2007. "One for All and All for One : Regression Checks with Many Regressors"," Working Papers 2007-12, Center for Research in Economics and Statistics.
- Lavergne, Pascal & Patilea, Valentin, 2011. "One for all and all for one: regression checks with many regressors," MPRA Paper 35779, University Library of Munich, Germany.
- Pascal Lavergne & Valentin Patilea, 2008. "One for All and All for One:Regression Checks With Many Regressors," Discussion Papers dp08-06, Department of Economics, Simon Fraser University.
- Juan Carlos Escanciano & Kyungchul Song, 2007. "Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects," PIER Working Paper Archive 07-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
- Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
- Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
- Jia-Young Michael Fu & Joel L. Horowitz & Matthias Parey, 2015. "Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions," CeMMAP working papers CWP68/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Richard Blundell & Joel L. Horowitz, 2007. "A Non-Parametric Test of Exogeneity," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1035-1058.
- Lavergne, Pascal & Patilea, Valentin, 2008.
"Breaking the curse of dimensionality in nonparametric testing,"
Journal of Econometrics,
Elsevier, vol. 143(1), pages 103-122, March.
- Pascal Lavergne & Valentin Patilea, 2006. "Breaking the Curse of Dimensionality in Nonparametric Testing," Working Papers 2006-24, Center for Research in Economics and Statistics.
- Emmanuel Guerre & Pascal Lavergne, 2004. "Data-Driven Rate-Optimal Specification Testing In Regression Models," Econometrics 0411008, EconWPA.
- Stefan Sperlich, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 419-427, September.
- Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
- Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.
- Maistre, Samuel & Lavergne, Pascal & Patilea, Valentin, 2014. "Powerful nonparametric checks for quantile regression," TSE Working Papers 14-501, Toulouse School of Economics (TSE).
- Felix Abramovich & Italia Feis & Theofanis Sapatinas, 2009. "Optimal testing for additivity in multiple nonparametric regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 691-714, September.
- Porter, Jack & Yu, Ping, 2015. "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, vol. 189(1), pages 132-147.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:18:y:2002:i:05:p:1139-1171_18. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_ECT .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.