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.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2006-80.
Date of creation: 2006
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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
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