Please use this identifier to cite or link to this item:
Dette, Holger
Spreckelsen, Ingrid
Year of Publication: 
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2001,34
In this note several aspects of specification tests in nonparametric models driven by an absolutely regular process are discussed, which were recently proprosed in the literature. In particular we give a more detailed asymptotic analysis of tests based on kernel methods under fixed alternatives using a central limit theorem for U-statistics with n-dependent nondegenerate kernel. As a by-product it is demonstrated that several results regarding the asymptotic distribution of goodness-of-fit tests are incorrectly stated in the literature. Moreover, our result indicates that recent results on the asymptotic equivalence between nonparametric autoregression and nonparametric regression cannot be used for the asymptotic analysis of goodness-of-fit tests under fixed alternatives.
nonparametric autoregressive model
goodness-of-fit test
absolute regular process
asymptotic equivalence
Document Type: 
Working Paper

Files in This Item:
192.28 kB
1.44 MB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.