Nonparametric significance testing

Author(s): Vuong, Q.

Journal/Book: Economet Theory. 2000; 16: 40 West 20Th Street, New York, NY 10011-4211, USA. Cambridge Univ Press. 576-601.

Abstract: A procedure for testing the significance 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 an nh(P2/2) standard normal Limiting distribution, where p(2) is the dimension of the complete set of regressors. Our test is one-sided, consistent against all alternatives and detects 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, Econometrica 64, 865-890).

Note: Article Lavergne P, INRA, ESR, BP 27, F-31326 Castanet Tolosan, FRANCE

Keyword(s): GOODNESS-OF-FIT; MODEL-SPECIFICATION TESTS; REGRESSION FUNCTION; U-STATISTICS; CONSISTENT; SELECTION; VARIABLES; DENSITY; CUSUM; FORM

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