Asymptotic distribution-free tests for semiparametric regressions with dependent data

This article proposes a new general methodology for constructing nonparametric and semiparametric Asymptotically Distribution-Free (ADF) tests for semiparametric hypotheses in regression models for possibly dependent data coming from a strictly stationary process. Classical tests based on the difference between the estimated distributions of the restricted and unrestricted regression errors are not ADF. In this article, we introduce a novel transformation of this difference that leads to ADF tests with well-known critical values. The general methodology is illustrated with applications to testing for parametric models against nonparametric or semiparametric alternatives, and semiparametric constrained mean–variance models. Several Monte Carlo studies and an empirical application show that the finite sample performance of the proposed tests is satisfactory in moderate sample sizes.

Publication Date:
May 03 2018
Date Submitted:
Feb 22 2019
The Annals of Statistics

 Record created 2019-02-22, last modified 2019-04-03

Download fulltext

Rate this document:

Rate this document:
(Not yet reviewed)