Testing the equality of nonparametric regression curves
This paper proposes a test for the equality of nonparametric regression curves that does not depend on the choice of a smoothing number. The test statistic resembles in spirit the Kolmogorov-Smirnov statistic and it is easy to compute. It is powerful under alternatives that converge to the null hypothesis at a rate n-1/2. The disturbance distributions are arbitrary and possibly unequal, and conditions on the regressors distribution are very mild. A Monte Carlo study illustrates the performance of the test in small and moderate samples. We also study extensions to multiple regression, and test the equality of several regression curves.
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Volume (Year): 17 (1993)
Issue (Month): 3 (June)
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