IDEAS home Printed from https://ideas.repec.org/a/taf/emetrv/v40y2021i8p709-727.html

The lower regression function and testing expectation dependence dominance hypotheses

Author

Listed:
  • Oliver Linton
  • Yoon Jae Whang
  • Yu-Min Yen

Abstract

We provide an estimator of the lower regression function and provide large sample properties for inference. We also propose a test of the hypothesis of positive expectation dependence and derive its limiting distribution under the null hypothesis and provide consistent critical values. We apply our methodology to the question of portfolio choice and to the question of the relation of growth to public debt.

Suggested Citation

  • Oliver Linton & Yoon Jae Whang & Yu-Min Yen, 2021. "The lower regression function and testing expectation dependence dominance hypotheses," Econometric Reviews, Taylor & Francis Journals, vol. 40(8), pages 709-727, September.
    • Handle: RePEc:taf:emetrv:v:40:y:2021:i:8:p:709-727
    DOI: 10.1080/07474938.2021.1889177
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/07474938.2021.1889177
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07474938.2021.1889177?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 163-172.
    3. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," LIDAM Discussion Papers ISBA 2021021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:40:y:2021:i:8:p:709-727. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.tandfonline.com/LECR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.