Practically significant differences between conditional distribution functions

Fuente: arXiv
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Autores principales: Dette, Holger, Möllenhoff, Kathrin, Wied, Dominik
Formato: Preprint
Publicado: 2025
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author Dette, Holger
Möllenhoff, Kathrin
Wied, Dominik
author_facet Dette, Holger
Möllenhoff, Kathrin
Wied, Dominik
contents In the framework of semiparametric distribution regression, we consider the problem of comparing the conditional distribution functions corresponding to two samples. In contrast to testing for exact equality, we are interested in the (null) hypothesis that the $L^2$ distance between the conditional distribution functions does not exceed a certain threshold in absolute value. The consideration of these hypotheses is motivated by the observation that in applications, it is rare, and perhaps impossible, that a null hypothesis of exact equality is satisfied and that the real question of interest is to detect a practically significant deviation between the two conditional distribution functions. The consideration of a composite null hypothesis makes the testing problem challenging, and in this paper we develop a pivotal test for such hypotheses. Our approach is based on self-normalization and therefore requires neither the estimation of (complicated) variances nor bootstrap approximations. We derive the asymptotic limit distribution of the (appropriately normalized) test statistic and show consistency under local alternatives. A simulation study and an application to German SOEP data reveal the usefulness of the method.
format Preprint
id arxiv_https___arxiv_org_abs_2506_06545
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle Practically significant differences between conditional distribution functions
Dette, Holger
Möllenhoff, Kathrin
Wied, Dominik
Econometrics
Methodology
In the framework of semiparametric distribution regression, we consider the problem of comparing the conditional distribution functions corresponding to two samples. In contrast to testing for exact equality, we are interested in the (null) hypothesis that the $L^2$ distance between the conditional distribution functions does not exceed a certain threshold in absolute value. The consideration of these hypotheses is motivated by the observation that in applications, it is rare, and perhaps impossible, that a null hypothesis of exact equality is satisfied and that the real question of interest is to detect a practically significant deviation between the two conditional distribution functions. The consideration of a composite null hypothesis makes the testing problem challenging, and in this paper we develop a pivotal test for such hypotheses. Our approach is based on self-normalization and therefore requires neither the estimation of (complicated) variances nor bootstrap approximations. We derive the asymptotic limit distribution of the (appropriately normalized) test statistic and show consistency under local alternatives. A simulation study and an application to German SOEP data reveal the usefulness of the method.
title Practically significant differences between conditional distribution functions
topic Econometrics
Methodology
url https://arxiv.org/abs/2506.06545