One for All and All for One: Regression Checks With Many Regressors
One for All and All for One: Regression Checks With Many Regressors
We develop a novel approach to building checks of parametric regression models when many regressors are present, based on a class of sufficiently rich semiparametric alternatives, namely single-index models. We propose an omnibus test based on the kernel method that performs against a sequence of directional nonparametric alternatives as if …