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Goodness-of-fit tests in nonparametric regression

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Author Info
Einmahl, J.H.J.
Keilegom, I. van (Tilburg University, Center for Economic Research)

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Abstract

Consider the nonparametric regression model Y = m(X)+", where the function m is smooth, but unknown, and " is independent of X. We construct omnibus goodness-of-fit tests, based on n independent copies of (X; Y ), for the independence of " and X and establish asymptotic results for the proposed tests statistics. We investigate their finite sample properties through a simulation study and present an econometric application to household data. One testing procedure is based on differences of neighboring Y's, whereas the other one makes use of an estimator of m. The proofs are based on delicate weighted empirical process theory.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 12.

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Date of creation: 2004
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Handle: RePEc:dgr:kubcen:200412

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  1. Einmahl, John H.J. & Van Keilegom, Ingrid, 2006. "Tests for independence in nonparametric regression," Discussion Paper 80, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Adang, Pim & Melenberg, Bertrand, 1995. "Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 1-15, Jan.-Marc. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Sokbae 'Simon' Lee & Oliver Linton & Yoon-Jae Whang, 2008. "Testing for stochastic monotonicity," CeMMAP working papers CWP21/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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