A Flexible Nonparametric Test for Conditional Independence
This paper proposes a nonparametric test for conditional independence that is easy to implement, yet powerful in the sense that it is consistent and achieves root-n local power. The test statistic is based on an estimator of the topological "distance" between restricted and unrestricted probability measures corresponding to conditional independence or its absence. The distance is evaluated using a family of Generically Comprehensively Revealing (GCR) functions, such as the exponential or logistic functions, which are indexed by nuisance parameters. The use of GCR functions makes the test able to detect any deviation from the null. We use a kernel smoothing method when estimating the distance. An integrated conditional moment (ICM) test statistic based on these estimates is obtained by integrating out the nuisance parameters. We simulate the critical values using a conditional simulation approach. Monte Carlo experiments show that the test performs well in Ã–nite samples. As an application, we test the key assumption of unconfoundedness in the context of estimating the returns to schooling.
|Date of creation:||01 May 2013|
|Contact details of provider:|| Postal: 9500 Gilman Drive, La Jolla, CA 92093-0508|
Phone: (858) 534-3383
Fax: (858) 534-7040
Web page: http://www.escholarship.org/repec/ucsdecon/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Boning, Wm. Brent & Sowell, Fallaw, 1999. "Optimality For The Integrated Conditional Moment Test," Econometric Theory, Cambridge University Press, vol. 15(05), pages 710-718, October.
- Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
- Halbert White & Karim Chalak, 2008. "Identifying Structural Effects in Nonseparable Systems Using Covariates," Boston College Working Papers in Economics 734, Boston College Department of Economics.
- Su, Liangjun & White, Halbert, 2007.
"A consistent characteristic function-based test for conditional independence,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 807-834, December.
- Su, Liangjun & White, Halbert, 2003. "A Consistent Characteristic-Function-Based Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series qt4dv0837f, Department of Economics, UC San Diego.
- Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
- Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
- Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
- Bierens, H.J. & Ploberger, W., 1995. "Asymptotic theory of integrated conditional moment tests," Discussion Paper 1995-124, Tilburg University, Center for Economic Research.
- Griliches, Zvi, 1977. "Estimating the Returns to Schooling: Some Econometric Problems," Econometrica, Econometric Society, vol. 45(1), pages 1-22, January.
- Su, Liangjun & White, Halbert, 2008. "A Nonparametric Hellinger Metric Test For Conditional Independence," Econometric Theory, Cambridge University Press, vol. 24(04), pages 829-864, August.
- Su, Liangjun & White, Halbert, 2014. "Testing conditional independence via empirical likelihood," Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
- Su, Liangjun & White, Halbert, 2003. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series qt35v8g0fm, Department of Economics, UC San Diego.
- Blackburn, McKinley L & Neumark, David, 1993. "Omitted-Ability Bias and the Increase in the Return to Schooling," Journal of Labor Economics, University of Chicago Press, vol. 11(3), pages 521-544, July.
- McKinley L. Blackburn & David Neumark, 1991. "Omitted-Ability Bias and the Increase in the Return to Schooling," NBER Working Papers 3693, National Bureau of Economic Research, Inc.
- Su, Liangjun & White, Halbert, 2010. "Testing Structural Change In Partially Linear Models," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1761-1806, December.
- Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
- Racine, Jeffrey S., 2008. "Nonparametric Econometrics: A Primer," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(1), pages 1-88, March. Full references (including those not matched with items on IDEAS)