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.
Reference
Pascal Lavergne, and Quang Vuong, “Nonparametric Selection of Regressors: The nonnested case”, Econometrica, vol. 64, n. 1, January 1996, pp. 207–219, 13 pages.
Published in
Econometrica, vol. 64, n. 1, January 1996, pp. 207–219, 13 pages