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Testing additivity in generalized nonparametric regression models with estimated parameters

  • Gozalo, Pedro L.
  • Linton, Oliver B.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-438BRTD-1/2/2b42d6a929693ab99024b79b851b5df8
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 104 (2001)
Issue (Month): 1 (August)
Pages: 1-48

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Handle: RePEc:eee:econom:v:104:y:2001:i:1:p:1-48
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Ariel Pakes & Steven Olley, 1994. "A Limit Theorem for a Smooth Class of Semiparametric Estimators," Cowles Foundation Discussion Papers 1066, Cowles Foundation for Research in Economics, Yale University.
  2. Donald W.K. Andrews & Yoon-Jae Whang, 1989. "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality," Cowles Foundation Discussion Papers 925, Cowles Foundation for Research in Economics, Yale University.
  3. Hong, Yongmiao, 1996. "Consistent Testing for Serial Correlation of Unknown Form," Econometrica, Econometric Society, vol. 64(4), pages 837-64, July.
  4. 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.
  5. Delgado, Miguel A & Mora, Juan, 1995. "Nonparametric and Semiparametric Estimation with Discrete Regressors," Econometrica, Econometric Society, vol. 63(6), pages 1477-84, November.
  6. Fan, Yanqin & Li, Qi, 2000. "Consistent Model Specification Tests," Econometric Theory, Cambridge University Press, vol. 16(06), pages 1016-1041, December.
  7. Linton, Oliver B., 2000. "Efficient Estimation Of Generalized Additive Nonparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 16(04), pages 502-523, August.
  8. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  9. L. YANG & Wolfgang HÄRDLE, 1996. "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," SFB 373 Discussion Papers 1996,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. Lavergne, Pascal & Vuong, Quang, 2000. "Nonparametric Significance Testing," Econometric Theory, Cambridge University Press, vol. 16(04), pages 576-601, August.
  11. Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December.
  12. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
  13. Wooldridge, Jeffrey M., 1992. "A Test for Functional Form Against Nonparametric Alternatives," Econometric Theory, Cambridge University Press, vol. 8(04), pages 452-475, December.
  14. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
  15. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, vol. 66(2), pages 289-314, March.
  16. Horowitz, Joel L. & Spokoiny, Vladimir G., 1999. "An Adaptive, Rate-Optimal Test of a Parametric Model Against a Nonparametric Alternative," Working Papers 99-02, University of Iowa, Department of Economics.
  17. Lewbel, Arthur, 1995. "Consistent nonparametric hypothesis tests with an application to Slutsky symmetry," Journal of Econometrics, Elsevier, vol. 67(2), pages 379-401, June.
  18. Hausman, J. A. & Abrevaya, Jason & Scott-Morton, F. M., 1998. "Misclassification of the dependent variable in a discrete-response setting," Journal of Econometrics, Elsevier, vol. 87(2), pages 239-269, September.
  19. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 451-477, June.
  20. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  21. S. Sperlich & O. Linton & Wolfgang HÄRDLE, 1997. "A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models," SFB 373 Discussion Papers 1997,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  22. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
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