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NONPARAMETRIC SIGNIFICANCE TESTING

  • Pascal Lavergne (a1) and Quang Vuong (a2)
    • Published online: 01 August 2000
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 nhp2/2 standard normal limiting distribution, where p2 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−1/2hp2/4. Our Monte-Carlo experiments indicate that it outperforms the test proposed by Fan and Li (1996, Econometrica 64, 865–890).

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Corresponding author
Address correspondence to: Pascal Lavergne, INRA-ESR, BP 27, 31326 Castanet-Tolosan Cedex, France; e-mail: lavergne@toulouse.inra.fr.
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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