Tests for independence in nonparametric regression

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Tests for independence in nonparametric regression

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Einmahl, John H.J.
Van Keilegom, Ingrid (Tilburg University, Center for Economic Research)

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John Einmahl

Abstract

Consider 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.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 80.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:200680

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-09-16 (All new papers)
NEP-ECM-2006-09-16 (Econometrics)

References listed on IDEAS
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.:

Lee, Byung-Joo, 1992. "A Heteroskedasticity Test Robust to Conditional Mean Misspecification," Econometrica, Econometric Society, vol. 60(1), pages 159-71, January. [Downloadable!] (restricted)
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.)

Einmahl, John H.J. & Van Keilegom, Ingrid, 2006. "Goodness-of-fit tests in nonparametric regression," Discussion Paper 79, Tilburg University, Center for Economic Research. [Downloadable!]
Other versions:
- Einmahl, J.H.J. & Keilegom, I. van, 2004. "Goodness-of-fit tests in nonparametric regression," Discussion Paper 12, Tilburg University, Center for Economic Research. [Downloadable!]

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