An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models
AbstractThis paper is concerned with testing the hypothesis that a conditional median function is linear against a nonparametric alternative with unknown smoothness. We develop a test that is uniformly consistent against alternatives whose distance from the linear model converges to zero at the fastest possible rate. The test accommodates conditional heteroskedasticity of unknown form. The numerical performance and usefulness of the test are illustrated by the results of Monte Carlo experiments and an empirical example.
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Bibliographic InfoPaper provided by University of Iowa, Department of Economics in its series Working Papers with number 00-04.
Length: 34 pages
Date of creation: Nov 2000
Date of revision:
Contact details of provider:
Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
More information through EDIRC
Hypothesis testing; local alternative; uniform consistency;
Find related papers by JEL classification:
- 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
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-01-21 (All new papers)
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