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The lower regression function and testing expectation dependence dominance hypotheses

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  • 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.

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  • 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
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    Cited by:

    1. 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.
    2. 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).

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