Tests for Independence in Nonparametric Regression
Copyright policy )Tests for Independence in Nonparametric Regression
Consider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown.We construct tests for the independence of e and X, based on n independent copies of (X; Y ).The testing procedures are based on differences of neighboring Y 's.We establish asymptotic results for the proposed tests statistics, investigate their finite sample properties through a simulation study and present an econometric application to household data.The proofs are based on delicate empirical process theory.
empirical process, empirical process; model diagnostics; nonparametric regression; test for independence; weak convergence, empirical process;model diagnostics;nonparametric regression;test for independence;weak convergence, nonparametric regression, weak convergence, test for independence, model diagnostics, jel: jel:C52, jel: jel:C12, jel: jel:C14
empirical process, empirical process; model diagnostics; nonparametric regression; test for independence; weak convergence, empirical process;model diagnostics;nonparametric regression;test for independence;weak convergence, nonparametric regression, weak convergence, test for independence, model diagnostics, jel: jel:C52, jel: jel:C12, jel: jel:C14
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