Nonparametric Estimation And Testing Of Interaction In Additive Models
AbstractWe consider an additive model with second-order interaction terms. Both marginal integration estimators and a combined backfitting-integration estimator are proposed for all components of the model and their derivatives. The corresponding asymptotic distributions are derived. Moreover, two test statistics for testing the presence of interactions are proposed. Asymptotics for the test functions and local power results are obtained. Because direct implementation of the test procedure based on the asymptotics would produce inaccurate results unless the number of observations is very large, a bootstrap procedure is provided, which is applicable for small or moderate sample sizes. Further, based on these methods a general test for additivity is developed. Estimation and testing methods are shown to work well in simulation studies. Finally, our methods are illustrated on a five-dimensional production function for a set of Wisconsin farm data. In particular, the separability hypothesis for the production function is discussed.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 18 (2002)
Issue (Month): 02 (April)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:email@example.com
Other versions of this item:
- Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 1998. "Nonparametric estimation and testing of interaction in additive models," SFB 373 Discussion Papers 1998,14, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Denny, Michael & Fuss, Melvyn A, 1977. "The Use of Approximation Analysis to Test for Separability and the Existence of Consistent Aggregates," American Economic Review, American Economic Association, vol. 67(3), pages 404-18, June.
- repec:wop:humbsf:1996-59 is not listed on IDEAS
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.