We consider two tests of structural change for partially linear time-series models. The first tests for structural change in the parametric component, based on the cumulative sums of gradients from a single semiparametric regression. The second tests for structural change in the parametric and...

We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, <italic>f</italic>(<italic>y</italic>|<italic>x</italic>,<italic>z</italic>) and <italic>f</italic>(<italic>y</italic>|<italic>x</italic>), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value...

In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R²) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being...