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Nonparametric significance testing

Author

Listed:
  • Lavergne, Pascal
  • Vuong, Quang

Abstract

A procedure for testing the signicance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under test, we show that our test statistic has a nhp2/2 standard normal limiting distribution, where p2 is the dimension of the complete set of regressors. Our test is one-sided, consistent against all alternatives and detect local alternatives approaching the null at rate slower than n-1/2 h-p2/4. Our Monte-Carlo experiments indicate that it outperforms the test proposed by Fan and Li (1996).

Suggested Citation

  • Lavergne, Pascal & Vuong, Quang, 1998. "Nonparametric significance testing," SFB 373 Discussion Papers 1998,75, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  • Handle: RePEc:zbw:sfb373:199875
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    References listed on IDEAS

    as
    1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    2. Back, Kerry, 1992. "Insider Trading in Continuous Time," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
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    More about this item

    Keywords

    Hypothesis testing; Kernel estimation; Nested models;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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