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A Bootstrap Test for Single Index Models

Listed author(s):
  • Wolfgang Haerdle

    (Humboldt-University of Berlin)

  • Enno MAMMEN

    (Ruprecht-Karls-University Heidelberg)

  • Isabel Proenca


Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal approximation. We prove that the statistic and its bootstrapped version have the same asymptotic distribution. In a simulation study we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better approximations to the true critical values and consequently it has a more accurate level and superior power properties. We propose a modification of the HH statistic which reduces considerably the dependency of the test performance on the bandwidth choice. We show that the bootstrap of this modified statistic works as well.

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Paper provided by EconWPA in its series Econometrics with number 0508007.

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Length: 28 pages
Date of creation: 05 Aug 2005
Handle: RePEc:wpa:wuwpem:0508007
Note: Type of Document - pdf; prepared on windows; pages: 28
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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.:

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  1. Isabel Proenca, "undated". "On the performance of the H-H Test," Statistic und Oekonometrie 9310, Humboldt Universitaet Berlin.
  2. Horowitz, Joel L., 1993. "Semiparametric estimation of a work-trip mode choice model," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 49-70, July.
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