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Goodness-of-fit tests for regression using kernel methods

Listed author(s):
  • Aït-Sahalia, Yacine.
  • Bickel, Peter J.
  • Stoker, Thomas M.

No abstract is available for this item.

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File URL: http://hdl.handle.net/1721.1/2670
Download Restriction: no

Paper provided by Massachusetts Institute of Technology (MIT), Sloan School of Management in its series Working papers with number 3747-94..

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Date of creation: 1994
Handle: RePEc:mit:sloanp:2670
Contact details of provider: Postal:
MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), SLOAN SCHOOL OF MANAGEMENT, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA

Phone: 617-253-2659
Web page: http://mitsloan.mit.edu/

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Order Information: Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), SLOAN SCHOOL OF MANAGEMENT, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA

References listed on IDEAS
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  1. P. M. Robinson, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Oxford University Press, vol. 56(4), pages 511-534.
  2. Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(02), pages 316-356, June.
  3. James Heckman & Hidehiko Ichimura & Jeffrey Smith & Petra Todd, 1998. "Characterizing Selection Bias Using Experimental Data," NBER Working Papers 6699, National Bureau of Economic Research, Inc.
  4. repec:cup:etheor:v:10:y:1994:i:2:p:316-56 is not listed on IDEAS
  5. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04.
  6. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  7. repec:cup:etheor:v:8:y:1992:i:4:p:435-51 is not listed on IDEAS
  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. Yoon-Jae Whang & Donald W.K. Andrews, 1991. "Tests of Specification for Parametric and Semiparametric Models," Cowles Foundation Discussion Papers 968, Cowles Foundation for Research in Economics, Yale University.
  10. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
  11. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  12. 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.
  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. Vieu, Philippe, 1994. "Choice of regressors in nonparametric estimation," Computational Statistics & Data Analysis, Elsevier, vol. 17(5), pages 575-594, June.
  15. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
  16. Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  17. Lavergne, Pascal & Vuong, Quang H, 1996. "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, Econometric Society, vol. 64(1), pages 207-219, January.
  18. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
  19. 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.
  20. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
  21. repec:cup:etheor:v:12:y:1996:i:4:p:597-619 is not listed on IDEAS
  22. Monfort, Alain, 1996. "A Reappraisal of Misspecified Econometric Models," Econometric Theory, Cambridge University Press, vol. 12(04), pages 597-619, October.
  23. repec:cup:etheor:v:8:y:1992:i:4:p:452-75 is not listed on IDEAS
  24. repec:cup:etheor:v:9:y:1993:i:3:p:451-77 is not listed on IDEAS
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