Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 83, Issue 2, Pages 324-359Publisher
ELSEVIER INC
DOI: 10.1006/jmva.2001.2058
Keywords
additivity; dependent process; model determination; nonlinear time series; nonparametric regression; semiparametric autoregression
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In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We also conduct a small sample study for one of the test statistics through a simulated example. (C) 2002 Elsevier Science (USA).
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