Finite-sample Distribution-free Inference in Linear Median Regression under Heteroskedasticity and Nonlinear Dependence of Unknown Form
AbstractWe construct finite-sample distribution-free tests and confidence sets for the parametersof a linear median regression where no parametric assumptions are imposed on thenoise distribution. The setup we consider allows for nonnormality, heteroskedasticityand nonlinear serial dependence in the errors. Such semiparametric models are usuallyanalyzed using only asymptotically justified approximate methods, which can be arbitrarilyunreliable in finite samples. We consider first the property of mediangale – themedian-based analogue of a martingale difference – and show that the signs of mediangalesequences follow a nuisance-parameter free-distribution despite the presence ofnonlinear dependence and heterogeneity of unknown form. We point out that a simultaneousinference approach in conjunction with sign transformations do provide statisticswith the required pivotality features – in addition to usual robustness properties. Thosesign-based statistics are exploited – usingMonte Carlo tests and projection techniques –in order to produce valid inference in finite samples. An asymptotic theory which holdsunder weaker assumptions is also provided. Finally, simulation results illustrating theperformance and two applications are presented.
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 InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2007-38.
Date of creation: 2007
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011.
"A class of simple distribution-free rank-based unit root tests,"
- Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011. "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
- Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print hal-00834424, HAL.
- Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry).
If references are entirely missing, you can add them using this form.