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Nonparametric Least Squares Regression and Testing in Economic Models

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  • Adonis Yatchew
  • Len Bos

Abstract

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Suggested Citation

  • Adonis Yatchew & Len Bos, 1997. "Nonparametric Least Squares Regression and Testing in Economic Models," Working Papers yatchew-99-01, University of Toronto, Department of Economics.
  • Handle: RePEc:tor:tecipa:yatchew-99-01
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    File URL: https://www.economics.utoronto.ca/public/workingPapers/UT-ECIPA-YATCHEW-99-01.pdf
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    References listed on IDEAS

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    1. Delgado, Miguel A & Robinson, Peter M, 1992. " Nonparametric and Semiparametric Methods for Economic Research," Journal of Economic Surveys, Wiley Blackwell, vol. 6(3), pages 201-249.
    2. Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
    3. S. M. Goldman & P. A. Ruud, 1993. "Nonparametric Multivariate Regression Subject to Constraint," Econometrics 9311001, EconWPA.
    4. Hausman, Jerry A & Newey, Whitney K, 1995. "Nonparametric Estimation of Exact Consumers Surplus and Deadweight Loss," Econometrica, Econometric Society, vol. 63(6), pages 1445-1476, November.
    5. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
    6. Andrews, Donald W.K., 1986. "Empirical process methods in econometrics," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 37, pages 2247-2294 Elsevier.
    7. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
    8. Delgado, Miguel A. & Robinson, Peter M., 1992. "Nonparametric and semiparametric methods for economic research," UC3M Working papers. Economics 2827, Universidad Carlos III de Madrid. Departamento de Economía.
    9. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
    10. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
    11. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
    12. Gallant, A. Ronald, 1982. "Unbiased determination of production technologies," Journal of Econometrics, Elsevier, vol. 20(2), pages 285-323, November.
    13. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 451-477, June.
    14. W. E. Diewert, 1973. "Afriat and Revealed Preference Theory," Review of Economic Studies, Oxford University Press, vol. 40(3), pages 419-425.
    15. Epstein, Larry G. & Yatchew, Adonis J., 1985. "Non-parametric hypothesis testing procedures and applications to demand analysis," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 149-169.
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    Cited by:

    1. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    2. Gad Allon & Michael Beenstock & Steven Hackman & Ury Passy & Alexander Shapiro, 2007. "Nonparametric estimation of concave production technologies by entropic methods," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 795-816.
    3. Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.
    4. Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.

    More about this item

    Keywords

    nonparametric regression; semiparametric regression; partial linear model; least squares; empirical processes; hypothesis testing; conditional moment tests; U-statistics; bootstrap; specification test; significance test; additive separability; multiplicative separability; homogeneity; monotonicity; concavity; demand theory; maximization hypothesis;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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