Lavergne, Pascal and Vuong, Quang H. (1996) Nonparametric Selection of Regressors: The nonnested case. Econometrica, vol.64 (n°1). pp. 207-219.

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Identification Number : 10.2307/2171929

Abstract

We propose a consistent and directional testing procedure for discriminating between two sets of regressors without specifying the functional form of the regressions or the distribution of the residuals. Our test statistic uses the empirical mean square error from a nonparametric (kernel) regression.

Item Type: Article
Language: English
Date: January 1996
Refereed: Yes
Place of Publication: Etats-Unis d'Amérique
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 05 Jan 2022 17:24
Last Modified: 05 Jan 2022 17:24
OAI Identifier: oai:tse-fr.eu:126297
URI: https://publications.ut-capitole.fr/id/eprint/44136
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