Nonparametric selection of regressors: The nonnested case

P. Lavergne, Q. H. Vuong

    Research output: Contribution to journalArticle

    Abstract

    We propose a consistent and directional testing procedure for discriminating between two sets of regressors without specifying the functional form of the regressions or the distribution of the residuals. Our test statistic uses the empirical mean square error from a nonparametric (kernel) regression.

    Original languageEnglish (US)
    Pages (from-to)207-219
    Number of pages13
    JournalEconometrica
    Volume64
    Issue number1
    DOIs
    StatePublished - 1996

    ASJC Scopus subject areas

    • Economics and Econometrics

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