Tests for Independence in Nonparametric Regression
AbstractConsider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown.We construct tests for the independence of e and X, based on n independent copies of (X; Y ).The testing procedures are based on differences of neighboring Y 's.We establish asymptotic results for the proposed tests statistics, investigate their finite sample properties through a simulation study and present an econometric application to household data.The proofs are based on delicate empirical process theory.
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 Tilburg University, Center for Economic Research in its series Discussion Paper with number 2006-80.
Date of creation: 2006
Date of revision:
Contact details of provider:
Web page: http://center.uvt.nl
empirical process; model diagnostics; nonparametric regression; test for independence; weak convergence;
Other versions of this item:
- Einmahl, J.H.J. & Keilegom, I. van, 2008. "Tests for independence in nonparametric regression," Open Access publications from Tilburg University urn:nbn:nl:ui:12-192434, Tilburg University.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
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.:
- Adang, P.J.M. & Melenberg , B., 1995. "Nonnegativity constraints and intratemporal uncertainty in multi-good life-cycle models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-383455, Tilburg University.
- Lee, Byung-Joo, 1992. "A Heteroskedasticity Test Robust to Conditional Mean Misspecification," Econometrica, Econometric Society, vol. 60(1), pages 159-71, January.
- 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.
- Nagel, Eva-Renate & Dette, Holger & Neumeyer, Natalie, 2004. "Bootstrap tests for the error distribution in linear and nonparametric regression models," Technical Reports 2004,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- repec:ner:louvai:info:hdl:2078.1/35605 is not listed on IDEAS
- Hlávka, Zdenek & Husková, Marie & Meintanis, Simos G., 2011. "Tests for independence in non-parametric heteroscedastic regression models," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 816-827, April.
- Escanciano, Juan Carlos & Jacho-Chávez, David T., 2012. "n-uniformly consistent density estimation in nonparametric regression models," Journal of Econometrics, Elsevier, vol. 167(2), pages 305-316.
- Einmahl, J.H.J. & Keilegom, I. van, 2008.
"Specification tests in nonparametric regression,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-192435, Tilburg University.
- Neumeyer, Natalie, 2009. "Change-Point Tests for the Error Distribution in Non-parametric Regression. Scand. J. Stat," Open Access publications from UniversitÃ© catholique de Louvain info:hdl:2078.1/35377, Université catholique de Louvain.
- Van Keilegom, Ingrid, 2011. "Nonparametric location-scale models for censored successive survival times," Open Access publications from UniversitÃ© catholique de Louvain info:hdl:2078.1/114546, Université catholique de Louvain.
- Einmahl, J.H.J. & Keilegom, I. van, 2004.
"Goodness-of-fit Tests in Nonparametric Regression,"
2004-12, Tilburg University, Center for Economic Research.
- Cédric Heuchenne & Ingrid Keilegom, 2010. "Estimation in nonparametric location-scale regression models with censored data," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(3), pages 439-463, June.
- Neumeyer, Natalie, 2009. "Testing independence in nonparametric regression," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1551-1566, August.
- Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Broekman).
If references are entirely missing, you can add them using this form.