A proposal for a new dimension analysis procedure in a general regression problem

Santiago Velilla Cerdan and Mª Pilar Barrios

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper, a new procedure for testing the number of linear components in a general regression problem is introduced. It is based on a nonparametric estimate of the covariance matrix of the inverse regression curve. A review of previous dimension tests is also presented.

Date: 2001-03
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws011913

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