arXiv 13 Mar 2022 · Econometrics · publishedEconometric Theory (2024) · 1 citations (OpenAlex)
arXiv:2203.06685 · PDF · DOI · OpenAlex · Extracted main text
We set up a formal framework to characterize encompassing of nonparametric models through the L2 distance. We contrast it to previous literature on the comparison of nonparametric regression models. We then develop testing procedures for the encompassing hypothesis that are fully nonparametric. Our test statistics depend on kernel regression, raising the issue of bandwidth's choice. We investigate two alternative approaches to obtain a "small bias property" for our test statistics. We show the validity of a wild bootstrap method. We empirically study the use of a data-driven bandwidth and illustrate the attractive features of our tests for small and moderate samples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lavergne, P. and Q. H. Vuong (1996) Nonparametric Selection of Regressors: The Nonnested Case self | 1.000 | 8 | 3 | 100% |
| 2 | Delgado, M. A. and W. G. Manteiga (2001) Significance Testing in Nonparametric Regression Based on the Bootstrap | 0.928 | 4 | 4 | 100% |
| 3 | Bierens, H. J (1982) Consistent Model Specification Tests | 0.928 | 4 | 3 | 100% |
| 4 | Escanciano, J. C., D. T. Jacho-Chávez, and A. Lewbel (2014) Uniform Convergence of Weighted Sums of Non and Semiparametric Residuals for Estimation and Testing | 0.928 | 4 | 3 | 100% |
| 5 | Stinchcombe, M. B. and H. White (1998) Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative | 0.843 | 3 | 3 | 100% |
| 6 | Xia, Y., W. K. Li, H. Tong, and D. Zhang (2004) A Goodness-of-Fit Test for Single-Index Models | 0.843 | 3 | 3 | 100% |
| 7 | Newey, W. K., F. Hsieh, and J. M. Robins (2004) Twicing Kernels and a Small Bias Property of Semiparametric Estimators | 0.811 | 4 | 2 | 100% |
| 8 | Andrews, D. W. K (1995) Nonparametric Kernel Estimation for Semiparametric Models | 0.737 | 3 | 2 | 100% |
| 9 | Chernozhukov, V., J. C. Escanciano, H. Ichimura, W. K. Newey, and J.… (2022) Locally Robust Semiparametric Estimation | 0.644 | 2 | 2 | 100% |
| 10 | Lavergne, P (2001) An Equality Test Across Nonparametric Regressions self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 47 scored citations.