Bootstrap Tests For Simple Structures in Nonparametric Time Series Regression

  title={Bootstrap Tests For Simple Structures in Nonparametric Time Series Regression},
  author={Jens-Peter Kreiss and Michael H. Neumann and Qiwei Yao},
This paper concerns statistical tests for simple structures such as parametric models, lower order models and additivity in a general nonparametric autoregression setting. We propose to use a modified L2-distance between the nonparametric estimator of regression function and its counterpart under null hypothesis as our test statistic which delimits the contribution from areas where data are sparse. The asymptotic properties of the test statistic are established, which indicates the test… CONTINUE READING
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