Lavergne, Pascal; Patilea, Valentin - In: Journal of Business & Economic Statistics 30 (2012) 1, pp. 41-52
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...