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Asymptotic distribution-free tests for semiparametric regressions with dependent data

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscanciano, Juan Carlos
dc.contributor.authorPardo-Fernandez, Juan Carlos
dc.contributor.authorVan Keilegom, Ingrid
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.contributor.funderEuropean Commissionen
dc.date.accessioned2022-06-13T15:01:23Z
dc.date.available2022-06-13T15:01:23Z
dc.date.issued2018-06-01
dc.description.abstractThis article proposes a new general methodology for constructing nonparametric and semiparametric Asymptotically Distribution-Free (ADF) tests for semiparametric hypotheses in regression models for possibly dependent data coming from a strictly stationary process. Classical tests based on the difference between the estimated distributions of the restricted and unrestricted regression errors are not ADF. In this article, we introduce a novel transformation of this difference that leads to ADF tests with well-known critical values. The general methodology is illustrated with applications to testing for parametric models against nonparametric or semiparametric alternatives, and semiparametric constrained mean-variance models. Several Monte Carlo studies and an empirical application show that the finite sample performance of the proposed tests is satisfactory in moderate sample sizes.en
dc.description.sponsorshipSupported by the Spanish Plan Nacional de I+D+I, reference number ECO2014-55858-P. Supported by the SpanishMinisterio de Economía y Competitividad (GrantMTM2014-55966 P). Supported by the European Research Council (2016-2021, Horizon 2020 ERC Grant agreement Nº. 694409), and from IAP Research Network P7/06 of the Belgian Statees
dc.identifier.bibliographicCitationEscanciano, J. C., Pardo-Fernández, J. C., & Van Keilegom, I. (2018). Asymptotic distribution-free tests for semiparametric regressions with dependent data.The Annals of Statistics, 46 (3), pp. 1167 - 1196en
dc.identifier.doihttps://doi.org/10.1214/17-AOS1581
dc.identifier.issn0090-5364
dc.identifier.publicationfirstpage1167es
dc.identifier.publicationissue3es
dc.identifier.publicationlastpage1196es
dc.identifier.publicationtitleANNALS OF STATISTICSen
dc.identifier.publicationvolume43es
dc.identifier.urihttps://hdl.handle.net/10016/35090
dc.identifier.uxxiAR/0000029575
dc.language.isoenges
dc.publisherInstitute of Mathematical Statisticsen
dc.relation.projectIDGobierno de España. ECO2014-55858-Pes
dc.relation.projectIDGobierno de España. MTM2014-55966-Pes
dc.relation.projectIDinfo:eu-repo/grantAgreement/EC/H2020/694409es
dc.rights© 2018 Institute of Mathematical Statisticsen
dc.rights.accessRightsopen accessen
dc.subject.ecienciaEconomíaes
dc.subject.otherBeta-mixingen
dc.subject.otherGoodness-of-fit testsen
dc.subject.otherLocal polynomial estimationen
dc.subject.otherNonparametric regressionen
dc.subject.otherError distributionen
dc.titleAsymptotic distribution-free tests for semiparametric regressions with dependent dataen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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