One for All and All for One: Regression Checks With Many Regressors

REFERENCES

• Aerts, M., Claeskens, G., and Hart, J. D., 1999. “Testing the Fit of a Parametric Function”, Journal of the American Statistical Association 94 (447) (1999), pp. 869–879.
   Web of Science ®Google Scholar
• Aerts, M., Claeskens, G., and Hart, J. D., 2000. “Testing Lack of Fit in Multiple Regression”, Biometrika 87 (2) (2000), pp. 405–4242.
   Web of Science ®Google Scholar
• Azzalini, A., Bowman, A. W., and Härdle, W., 1989. “On the Use of Nonparametric Regression for Model Checking”, Biometrika 76 (1) (1989), pp. 1–11.
   Web of Science ®Google Scholar
• Baraud, Y., Huet, S., and Laurent, B., 2003. “Adaptive Tests of Linear Hypotheses by Model Selection”, The Annals of Statistics 31 (1) (2003), pp. 225–251.
   Web of Science ®Google Scholar
• Barro, R. J., 1991. “Economic Growth in a Cross-Section of Countries”, Quarterly Journal of Economics 106 (2) (1991), pp. 407–443.
   Web of Science ®Google Scholar
• Bierens, H. J., 1982. “Consistent Model Specification Tests”, Journal of Econometrics 20 (1982), pp. 105–134.
   Web of Science ®Google Scholar
• Bierens, H. J., 1990. “A Consistent Conditional Moment Test of Functional Form”, Econometrica 58 (6) (1990), pp. 1443–1458.
   Web of Science ®Google Scholar
• Bierens, H. J., and Ploberger, W., 1997. “Asymptotic Theory of Integrated Conditional Moment Tests”, Econometrica 65 (5) (1997), pp. 1129–1151.
   Web of Science ®Google Scholar
• Cook, R. D., 1993. “Exploring Partial Residual Plots”, Technometrics 35 (4) (1993), pp. 351–362.
   Web of Science ®Google Scholar
• Cox, D., Koh, E., Wahba, G., and Yandell, B. S., 1988. “Testing the (Parametric) Null Model Hypothesis in (Semiparametric) Partial and Generalized Spline Models”, The Annals of Statistics 16 (1) (1988), pp. 113–119.
   Web of Science ®Google Scholar
• Delgado, M. A., Dominguez, M. A., and Lavergne, P., 2006. “Consistent Tests of Conditional Moment Restrictions”, The Annals of Economics and Statistics 81 (1) (2006), pp. 33–67.
   Google Scholar
• Dette, H., 1999. “A Consistent Test for the Functional Form of a Regression Based on a Difference of Variance Estimators,”, The Annals of Statistics 37 (3) (1999), pp. 1012–1040.
   Web of Science ®Google Scholar
• Dominguez, M. A., 2004. “On the Power of Boootstrapped Specification Tests”, Econometric Reviews 23 (3) (2004), pp. 215–228.
   Google Scholar
• Donald, S. G., Imbens, G. W., and Newey, W. K., 2003. “Empirical Likelihood Estimation and Consistent Tests With Conditional Moment Restrictions”, Journal of Econometrics 117 (1) (2003), pp. 55–93.
   Web of Science ®Google Scholar
• Escanciano, J. C., 2006a. “A Consistent Diagnostic Test for Regression Models Using Projections”, Econometric Theory 22 (6) (2006a), pp. 1030–1051.
   Web of Science ®Google Scholar
• Escanciano, J. C., 2006b. “Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models”, Journal of the American Statistical Association 101 (474) (2006b), pp. 531–541.
   Web of Science ®Google Scholar
• Eubank, R. L., and Hart, J. D., 1993. “Commonality of Cusum, von Neumann and Smoothing-Based Goodness-of-Fit Tests,”, Biometrika 80 (1) (1993), pp. 89–98.
   Web of Science ®Google Scholar
• Eubank, R. L., and Spiegelman, C. H., 1990. “Testing the Goodness of Fit of a Linear Model via Nonparametric Regression Techniques”, Journal of the American Statistical Association 85 (410) (1990), pp. 387–392.
   Web of Science ®Google Scholar
• Fan, J., and Huang, L. S., 2001. “Goodness-of-Fit Tests for Parametric Regression Models”, Journal of the American Statistical Association 96 (454) (2001), pp. 640–652.
   Web of Science ®Google Scholar
• Fan, J., Zhang, C., and Zhang, J., 2001. “Generalized Lihelihood Ratio Statistics and Wilks Phenomenon”, The Annals of Statistics 29 (1) (2001), pp. 153–193.
   Web of Science ®Google Scholar
• Godfrey, L. G., and Orme, C. D., 2004. “Controlling the Finite Sample Significance Levels of Heteroskedasticity-Robust Tests of Several Linear Restrictions on Regression Coefficients”, Economics Letters 82 (2) (2004), pp. 282–287.
   Web of Science ®Google Scholar
• Gozalo, P. L., 1997. “Nonparametric Bootstrap Analysis With Applications to Demographic Effects in Demand Functions”, Journal of Econometrics 81 (2) (1997), pp. 357–393.
   PubMed Web of Science ®Google Scholar
• Guerre, E., and Lavergne, P., 2002. “Optimal Minimax Rates for Nonparametric Specification Testing in Regression Models”, Econometric Theory 18 (5) (2002), pp. 1139–1171.
   Web of Science ®Google Scholar
• Guerre, E., and Lavergne, P., 2005. “Data-Driven Rate-Optimal Specification Testing in Regression Models”, The Annals of Statistics 33 (2) (2005), pp. 840–870.
   Web of Science ®Google Scholar
• Härdle, W., and Mammen, E., 1993. “Comparing Nonparametric versus Parametric Regression Fits”, The Annals of Statistics 21 (4) (1993), pp. 1296–1947.
   Web of Science ®Google Scholar
• Hart, J. D., 1997. Nonparametric Smoothing and Lack-of-Fit Tests. New-York: Springer-Verlag.; 1997.
   Google Scholar
• Hart, J. D., and Wehrly, T. E., 1992. “Kernel Regression When the Boundary Region Is Large, With an Application to Testing the Adequacy of Polynomial Models”, Journal of the American Statistical Association 87 (420) (1992), pp. 1018–1024.
   Web of Science ®Google Scholar
• Hoeffding, W., 1963. “Probability Inequalities for Sums of Bounded Random Variables”, Journal of the American Statistical Association 58 (301) (1963), pp. 13–30.
   Web of Science ®Google Scholar
• King, R. G., and Levine, R., 1993. “Finance and Growth: Schumpeter Might Be Right”, Quarterly Journal of Economics 108 (3) (1993), pp. 717–737.
   Web of Science ®Google Scholar
• Lavergne, Q., and Patilea, V., 2008. “Breaking the Curse of Dimensionality in Nonparametric Testing”, Journal of Econometrics 143 (1) (2008), pp. 103–122.
   Web of Science ®Google Scholar
• Lewbel, A., 1995. “Consistent Nonparametric Hypothesis Tests With an Application to Slutsky Symmetry”, Journal of Econometrics 67 (1) (1995), pp. 379–401.
   Web of Science ®Google Scholar
• Li, Q., and Wang, S., 1998. “A Simple Consistent Bootstrap Test for a Parametric Regression Function”, Journal of Econometrics 87 (1) (1998), pp. 145–165.
   Web of Science ®Google Scholar
• Liu, Z., and Stengos, T., 1999. “Non-Linearities in Cross-Country Growth Regressions: A Semiparametric Approach”, Journal of Applied Econometrics 14 (5) (1999), pp. 527–538.
   Web of Science ®Google Scholar
• Mankiw, N. G., Romer, D., and Weil, D. N., 1992. “A Contribution to the Empirics of Economic Growth”, Quarterly Journal of Economics 107 (2) (1992), pp. 407–437.
   Web of Science ®Google Scholar
• Miles, D., and Mora, J., 2003. “On the Performance of Nonparametric Specification Tests in Regression Models”, Computational Statistics & Data Analysis 42 (3) (2003), pp. 477–490.
   Web of Science ®Google Scholar
• Ramsey, J. B., 1969. “Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis”, Journal of the Royal Statistical Society, Ser. B 31 (2) (1969), pp. 511–534.
   Google Scholar
• Rudin, W., 1987. Real and Complex Analysis. McGraw-Hill.; 1987.
   Google Scholar
• Spokoiny, V., 2001. “Data-Driven Testing the Fit of Linear Models”, Mathematical Methods of Statistics 10 (4) (2001), pp. 465–497.
   Google Scholar
• Stinchcombe, M. B., and White, H., 1998. “Consistent Specification Testing With Nuisance Parameters Present Only on the Alternative”, Econometric Theory 14 (3) (1998), pp. 295–324.
   Web of Science ®Google Scholar
• Stone, C. J., 1980. “Optimal Rates of Convergence for Nonparametric Estimators,”, The Annals of Statistics 8 (6) (1980), pp. 1348–1360.
   Web of Science ®Google Scholar
• Stute, W., Gonzalez, Manteiga W., and Presedo, Quindimil M., 1998. “Bootstrap Approximations in Model Checks for Regression”, Journal of the American Statistical Association 93 (441) (1998), pp. 141–149.
   Web of Science ®Google Scholar
• Wu, C. F. J., 1986. “Jacknife, Bootstrap and Other Resampling Methods in Regression Analysis” (with discussion), The Annals of Statistics 14 (4) (1986), pp. 1261–1350.
   Web of Science ®Google Scholar
• Zheng, J. X., 1996. “A Consistent Test of Functional Form via Nonparametric Estimation Techniques”, Journal of Econometrics 75 (2) (1996), pp. 263–289.
   Web of Science ®Google Scholar
• Zhu, L. X., 2003. “Model Checking of Dimension-Reduction Type for Regression”, Statistica Sinica 13 (2) (2003), pp. 283–296.
   Web of Science ®Google Scholar
• Zhu, L. X., and Li, R., 1998. “Dimension-Reduction Type Test for Linearity of a Stochastic Model”, Acta Mathematicae Applicatae Sinica 14 (2) (1998), pp. 165–175.
   Google Scholar