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Specification tests in nonparametric regression

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Einmahl, John H. J. Van Keilegom, Ingrid [UCL]

Consider the location-scale regression model Y = m(X) + sigma(X)epsilon, where the error epsilon is independent of the covariate X, and m and sigma are smooth but unknown functions. We construct tests for the validity of this model and show that the asymptotic limits of the proposed test statistics are distribution free. We also investigate the finite sample properties of the tests through a simulation study, and we apply the tests in the analysis of data on food expenditures. (c) 2007 Elsevier B.V. All rights reserved.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2008
Language Anglais
Journal information "Journal of Econometrics" - Vol. 143, no. 1, p. 88-102 (2008)
Peer reviewed yes
Publisher Elsevier Science Sa (Lausanne)
issn 0304-4076
e-issn 1872-6895
Publication status Publié
Affiliation UCL - EUEN/STAT - Institut de statistique
Keywords Bootstrap ; Empirical Process ; Location-scale Regression ; Model Diagnostics ; Nonparametric Regression ; Test For Independence ; Weak Convergence
Links
Bibliographic reference Einmahl, John H. J. ; Van Keilegom, Ingrid. Specification tests in nonparametric regression. In: Journal of Econometrics, Vol. 143, no. 1, p. 88-102 (2008)
Permanent URL http://hdl.handle.net/2078.1/59436