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Nonparametric Least Squares Regression and Testing in Economic Models

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  • Adonis Yatchew
  • Len Bos

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File URL: http://www.economics.utoronto.ca/public/workingPapers/UT-ECIPA-YATCHEW-99-01.pdf
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Bibliographic Info

Paper provided by University of Toronto, Department of Economics in its series Working Papers with number yatchew-99-01.

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Length: 56 pages
Date of creation: 23 Oct 1997
Date of revision:
Handle: RePEc:tor:tecipa:yatchew-99-01

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Related research

Keywords: nonparametric regression; semiparametric regression; partial linear model; least squares; empirical processes; hypothesis testing; conditional moment tests; U-statistics; bootstrap; specification test; significance test; additive separability; multiplicative separability; homogeneity; monotonicity; concavity; demand theory; maximization hypothesis;

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References

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  1. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 451-477, June.
  2. Epstein, Larry G. & Yatchew, Adonis J., 1985. "Non-parametric hypothesis testing procedures and applications to demand analysis," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 149-169.
  3. Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
  4. Donald W.K. Andrews, 1993. "Empirical Process Methods in Econometrics," Cowles Foundation Discussion Papers 1059, Cowles Foundation for Research in Economics, Yale University.
  5. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  6. Delgado, Miguel A & Robinson, Peter M, 1992. " Nonparametric and Semiparametric Methods for Economic Research," Journal of Economic Surveys, Wiley Blackwell, vol. 6(3), pages 201-49.
  7. Gallant, A. Ronald, 1982. "Unbiased determination of production technologies," Journal of Econometrics, Elsevier, vol. 20(2), pages 285-323, November.
  8. Hausman, J.A. & Newey, W.K., 1992. "Nonparametric Estimation of Exact Consumers Surplus and Deadweight Loss," Working papers 93-2, Massachusetts Institute of Technology (MIT), Department of Economics.
  9. S. M. Goldman & P. A. Ruud, 1993. "Nonparametric Multivariate Regression Subject to Constraint," Econometrics 9311001, EconWPA.
  10. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
  11. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
  12. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
  13. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  14. Diewert, W E, 1973. "Afriat and Revealed Preference Theory," Review of Economic Studies, Wiley Blackwell, vol. 40(3), pages 419-25, July.
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Citations

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Cited by:
  1. Gad Allon & Michael Beenstock & Steven Hackman & Ury Passy & Alexander Shapiro, 2007. "Nonparametric estimation of concave production technologies by entropic methods," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 795-816.
  2. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  3. Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
  4. Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.

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