Encompassing Tests for Nonparametric Regressions
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2022
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| _version_ | 1866912361604972544 |
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| author | Lapenta, Elia Lavergne, Pascal |
| author_facet | Lapenta, Elia Lavergne, Pascal |
| contents | We set up a formal framework to characterize encompassing of nonparametric models through the L2 distance. We contrast it to previous literature on the comparison of nonparametric regression models. We then develop testing procedures for the encompassing hypothesis that are fully nonparametric. Our test statistics depend on kernel regression, raising the issue of bandwidth's choice. We investigate two alternative approaches to obtain a "small bias property" for our test statistics. We show the validity of a wild bootstrap method. We empirically study the use of a data-driven bandwidth and illustrate the attractive features of our tests for small and moderate samples. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2203_06685 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Encompassing Tests for Nonparametric Regressions Lapenta, Elia Lavergne, Pascal Econometrics Statistics Theory We set up a formal framework to characterize encompassing of nonparametric models through the L2 distance. We contrast it to previous literature on the comparison of nonparametric regression models. We then develop testing procedures for the encompassing hypothesis that are fully nonparametric. Our test statistics depend on kernel regression, raising the issue of bandwidth's choice. We investigate two alternative approaches to obtain a "small bias property" for our test statistics. We show the validity of a wild bootstrap method. We empirically study the use of a data-driven bandwidth and illustrate the attractive features of our tests for small and moderate samples. |
| title | Encompassing Tests for Nonparametric Regressions |
| topic | Econometrics Statistics Theory |
| url | https://arxiv.org/abs/2203.06685 |