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Bandwidth selection for nonparametric kernel testing

Author

Listed:
  • Gao, Jiti
  • Gijbels, Irene

Abstract

We propose a sound approach to bandwidth selection in nonparametric kernel testing. The main idea is to find an Edgeworth expansion of the asymptotic distribution of the test concerned. Due to the involvement of a kernel bandwidth in the leading term of the Edgeworth expansion, we are able to establish closed-form expressions to explicitly represent the leading terms of both the size and power functions and then determine how the bandwidth should be chosen according to certain requirements for both the size and power functions. For example, when a significance level is given, we can choose the bandwidth such that the power function is maximized while the size function is controlled by the significance level. Both asymptotic theory and methodology are established. In addition, we develop an easy implementation procedure for the practical realization of the established methodology and illustrate this on two simulated examples and a real data example.

Suggested Citation

  • Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
  • Handle: RePEc:pra:mprapa:11982
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    File URL: https://mpra.ub.uni-muenchen.de/11982/1/MPRA_paper_11982.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Choice of bandwidth parameter; Edgeworth expansion; nonparametric kernel testing; power function; size function;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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