Scandinavian Journal of Statistics, Vol. 45, No. 2 (June 2018), pp. 217-254 (38 pages) Non-parametric generalized likelihood ratio test is a popular method of model checking for regressions. However, ...

In this paper, we consider a nonparametric model with a time-varying regression function and locally stationary regressors. We are interested in the question whether the regression function has the ...