This paper introduces a new test of a semiparametric model of a conditional density function against a fully nonparametric alternative. This test is motivated by the fact that many important econometric models need to be estimated through maximum likelihood type procedures, e.g. semiparametric...

In non- and semiparametric testing, the wild bootstrap is a standard method to determine the critical values of the test. While there exists an increasing literature on how to find a proper smoothing parameter for the nonparametric alternative, almost nothing is known how to choose a smoothing...

Imagine we have two different samples and are interested in doing semi- or nonparametric regression analysis in each of them, possibly on the same econometric model. In this article we consider the problem of testing whether a specific covariate has different impacts on the regression curve in...