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Nonparametric Regression Tests Based on Least Squares

Published online by Cambridge University Press:  18 October 2010

Adonis John Yatchew
Adonis John Yatchew
Affiliation:
University of Toronto
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Abstract

This paper proposes tests on semiparametric models based on the sum of squared residuals from a least-squares procedure. Smoothness conditions are imposed on the nonparametric portion of the model to obtain asymptotic normality of the sum of squared residuals. The approach yields tests of specification, significance, smoothness and concavity and allows for heteroskedastic residuals.

Type
Articles
Information
Econometric Theory , Volume 8 , Issue 4 , December 1992 , pp. 435 - 451
Copyright
Copyright © Cambridge University Press 1992

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