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Specification tests in nonparametric regression

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  • Einmahl, John H.J.
  • Van Keilegom, Ingrid

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  • Einmahl, John H.J. & Van Keilegom, Ingrid, 2008. "Specification tests in nonparametric regression," Journal of Econometrics, Elsevier, vol. 143(1), pages 88-102, March.
    • Handle: RePEc:eee:econom:v:143:y:2008:i:1:p:88-102
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    1. Adang, Pim & Melenberg, Bertrand, 1995. "Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 1-15, Jan.-Marc.
    2. Michael G. Akritas & Ingrid Van Keilegom, 2001. "Non‐parametric Estimation of the Residual Distribution," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(3), pages 549-567, September.
    3. Dette, Holger & Marchlewski, Mareen, 2007. "A test for the parametric form of the variance function in apartial linear regression model," Technical Reports 2007,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. De Wet, T., 1980. "Cramér-von Mises tests for independence," Journal of Multivariate Analysis, Elsevier, vol. 10(1), pages 38-50, March.
    5. Holger Dette & Natalie Neumeyer & Ingrid Van Keilegom, 2007. "A new test for the parametric form of the variance function in non‐parametric regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(5), pages 903-917, November.
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    Cited by:

    1. Hušková, Marie & Meintanis, Simos G. & Pretorius, Charl, 2020. "Tests for validity of the semiparametric heteroskedastic transformation model," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    2. Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
    3. Florens, Jean-Pierre & Simar, Léopold & Van Keilegom, Ingrid, 2014. "Frontier estimation in nonparametric location-scale models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 456-470.
    4. Babii, Andrii & Florens, Jean-Pierre, 2017. "Are unobservables separable?," TSE Working Papers 17-802, Toulouse School of Economics (TSE).
    5. Mastromarco, Camilla & Simar, Léopold & Van Keilegom, Ingrid, 2022. "Estimating Nonparametric Conditional Frontiers and Efficiencies: A New Approach," LIDAM Discussion Papers ISBA 2022035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Van Keilegom, Ingrid, 2013. "Discussion on: "An updated review of Goodness-of-Fit tests for regression models" (by W. Gonzales-Manteiga and R.M. Crujeiras)," LIDAM Discussion Papers ISBA 2013008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Simar, Léopold & Vanhems, Anne & Van Keilegom, Ingrid, 2016. "Unobserved heterogeneity and endogeneity in nonparametric frontier estimation," Journal of Econometrics, Elsevier, vol. 190(2), pages 360-373.
    8. Y. Andriyana & I. Gijbels & A. Verhasselt, 2018. "Quantile regression in varying-coefficient models: non-crossing quantile curves and heteroscedasticity," Statistical Papers, Springer, vol. 59(4), pages 1589-1621, December.
    9. Neumeyer, Natalie, 2009. "Testing independence in nonparametric regression," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1551-1566, August.
    10. Neumeyer, Natalie & Van Keilegom, Ingrid, 2010. "Estimating the error distribution in nonparametric multiple regression with applications to model testing," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1067-1078, May.
    11. Neumeyer, Natalie & Noh, Hohsuk & Van Keilegom, Ingrid, 2014. "Heteroscedastic semiparametric transformation models: estimation and testing for validity," LIDAM Discussion Papers ISBA 2014047, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Elia Lapenta, 2022. "A Bootstrap Specification Test for Semiparametric Models with Generated Regressors," Papers 2212.11112, arXiv.org, revised Oct 2023.
    13. Natalie Neumeyer & Ingrid Van Keilegom, 2009. "Change‐Point Tests for the Error Distribution in Non‐parametric Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 518-541, September.
    14. Racine, Jeffrey S. & Li, Kevin, 2017. "Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach," Journal of Econometrics, Elsevier, vol. 201(1), pages 72-94.
    15. Fanjul-Hevia, Arís & González-Manteiga, Wenceslao & Pardo-Fernández, Juan Carlos, 2021. "A non-parametric test for comparing conditional ROC curves," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    16. Escanciano, Juan Carlos & Jacho-Chávez, David T., 2012. "n-uniformly consistent density estimation in nonparametric regression models," Journal of Econometrics, Elsevier, vol. 167(2), pages 305-316.
    17. Sankar, Subhra & Bergsma, Wicher & Dassios, Angelos, 2017. "Testing independence of covariates and errors in nonparametric regression," LSE Research Online Documents on Economics 83780, London School of Economics and Political Science, LSE Library.
    18. Hlávka, Zdenek & Husková, Marie & Meintanis, Simos G., 2011. "Tests for independence in non-parametric heteroscedastic regression models," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 816-827, April.
    19. Feve, Frederique & Florens, Jean-Pierre & Van Keilegom, Ingrid, 2012. "Estimation of conditional ranks and tests of exogeneity in nonparametric nonseparable models," LIDAM Discussion Papers ISBA 2012036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    20. Marek Omelka & Šárka Hudecová & Natalie Neumeyer, 2021. "Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1433-1473, December.
    21. Henderson Daniel J. & Parmeter Christopher F., 2017. "Root-n Consistent Kernel Density Estimation in Practice," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-10, January.
    22. Teran Hidalgo, Sebastian J. & Wu, Michael C. & Engel, Stephanie M. & Kosorok, Michael R., 2018. "Goodness-of-fit test for nonparametric regression models: Smoothing spline ANOVA models as example," Computational Statistics & Data Analysis, Elsevier, vol. 122(C), pages 135-155.

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