Tools
Tools
Lavergne, Pascal
and Vuong, Quang H.
(1996)
Nonparametric Selection of Regressors: The nonnested case.
Econometrica, vol.64 (n°1).
pp. 207-219.
Official URL : http://tse-fr.eu/pub/126297
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 |
