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Please use this identifier to cite or link to this item: http://hdl.handle.net/1942/9777

Title: Specification tests in nonparametric regression
Authors: EINMAHL, J.
VAN KEILEGOM, Ingrid
Issue Date: 2008
Publisher: ELSEVIER SCIENCE SA
Citation: JOURNAL OF ECONOMETRICS, 143(1). p. 88-102
Abstract: 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.
Notes: [Van Keilegom, Ingrid] Univ Catholique Louvain, Inst Stat, B-1348 Louvain, Belgium. [Einmahl, John H. J.] Tilburg Univ, Dept Econometr & OR, NL-5000 LE Tilburg, Netherlands. [Einmahl, John H. J.] Tilburg Univ, CentER, NL-5000 LE Tilburg, Netherlands.
URI: http://hdl.handle.net/1942/9777
DOI: 10.1016/j.jeconom.2007.08.008
ISI #: 000253555900007
ISSN: 0304-4076
Category: A1
Type: Journal Contribution
Appears in Collections: Research publications

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