Arbeitspapier

Testing for a general class of functional inequalities

In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a uni ed framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and revealed preferences. Our test involves a one-sided version of Lp functionals of kernel-type estimators (1 < p < É) and is easy to implement in general, mainly due to its recourse to the bootstrap method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated 'contact sets'. We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large class of distributions, including the cases that the limiting distribution of the test statistic is degenerate. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of the local power function. As an illustration, we consider testing implications from auction theory, provide primitive conditions for our test, and demonstrate its usefulness by applying our test to real data. We supplement this example with the second empirical illustration in the context of wage inequality

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP09/14

Klassifikation
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Thema
Bootstrap
conditional moment inequalities
kernel estimation
local polynomial estimation
Lp norm
nonparametric testing
partial identification
Poissonization
quantile regression
uniform asymptotics

Ereignis
Geistige Schöpfung
(wer)
Lee, Sokbae
Song, Kyungchul
Whang, Yoon-Jae
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2014

DOI
doi:10.1920/wp.cem.2014.0914
Handle
Letzte Aktualisierung
10.03.2025, 11:43 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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Lee, Sokbae
  • Song, Kyungchul
  • Whang, Yoon-Jae
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2014

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