Arbeitspapier
Nonparametric significance testing
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).
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1998,75
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Semiparametric and Nonparametric Methods: General
- Thema
-
Hypothesis testing
Kernel estimation
Nested models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lavergne, Pascal
Vuong, Quang
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1998
- Handle
- URN
-
urn:nbn:de:kobv:11-10060522
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lavergne, Pascal
- Vuong, Quang
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1998
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