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A power comparison between nonparametric regression tests

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  • Zhang, Chunming
  • Dette, Holger

Abstract

In this paper, we consider three major types of nonparametric regression tests that are based on kernel and local polynomial smoothing techniques. Their asymptotic power comparisons are established systematically under the fixed and contiguous alternatives, and are also illustrated through nonasymptotic investigations and finite-sample simulation studies.

Suggested Citation

  • Zhang, Chunming & Dette, Holger, 2004. "A power comparison between nonparametric regression tests," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 289-301, February.
  • Handle: RePEc:eee:stapro:v:66:y:2004:i:3:p:289-301
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    References listed on IDEAS

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    1. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
    2. W. González-Manteiga & R. Cao, 1993. "Testing the hypothesis of a general linear model using nonparametric regression estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 2(1), pages 161-188, December.
    3. 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.
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    Citations

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    Cited by:

    1. Anouar El Ghouch & Marc G. Genton & Taoufik Bouezmarni, 2013. "Measuring the Discrepancy of a Parametric Model via Local Polynomial Smoothing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 455-470, September.
    2. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    3. Song Xi Chen & Jiti Gao, 2010. "Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models," School of Economics Working Papers 2010-28, University of Adelaide, School of Economics.
    4. Xu Guo & Tao Wang & Lixing Zhu, 2016. "Model checking for parametric single-index models: a dimension reduction model-adaptive approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(5), pages 1013-1035, November.
    5. Crujeiras, Rosa M. & Fernández-Casal, Rubén & González-Manteiga, Wenceslao, 2008. "An L2 -test for comparing spatial spectral densities," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2543-2551, October.
    6. Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
    7. Koul, Hira L. & Song, Weixing & Liu, Shan, 2014. "Model checking in Tobit regression via nonparametric smoothing," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 36-49.
    8. Holger Dette & Matthias Guhlich & Natalie Neumeyer, 2015. "Testing for additivity in nonparametric quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 437-477, June.

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