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dc.contributor.authorEscanciano, Juan Carlos
dc.contributor.authorPardo Fernández, Juan Carlos 
dc.contributor.authorKeilegom, Ingrid van
dc.date.accessioned2018-07-16T10:54:45Z
dc.date.available2018-07-16T10:54:45Z
dc.date.issued2018-06
dc.identifier.citationThe Annals of Statistics, 46(3): 1167-1196 (2018)spa
dc.identifier.issn00905364
dc.identifier.urihttp://hdl.handle.net/11093/1031
dc.description.abstractThis 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.spa
dc.description.sponsorshipMinisterio de Economía y Competitividad. GrantMTM2014-55966-Pspa
dc.description.sponsorshipPlan Nacional de I+D+I ECO2014-55858-Pspa
dc.description.sponsorshipEuropean Research Council (2016-2021, Horizon 2020 ERC Grant agreement No. 694409)en
dc.description.sponsorshipIAP Research Network P7/06en
dc.language.isoengspa
dc.publisherThe Annals of Statisticsspa
dc.titleAsymptotic distribution-free tests for semiparametric regressions with dependent dataspa
dc.typearticlespa
dc.rights.accessRightsopenAccessspa
dc.identifier.doi10.1214/17-AOS1581
dc.publisher.departamentoEstatística e investigación operativaspa
dc.publisher.grupoinvestigacionInferencia Estatística, Decisión e Investigación Operativaspa
dc.subject.unesco12 Matemáticasspa
dc.subject.unesco1209 Estadísticaspa
dc.date.updated2018-07-10T14:38:22Z
dc.computerCitationpub_title=The Annals of Statistics|volume=46|journal_number=3|start_pag=1167|end_pag=1196spa


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