Consistent tests for semiparametric conditional independence

Shengtao Dai and Xiaojun Song

Statistics & Probability Letters, 2025, vol. 216, issue C

Abstract: We propose new joint tests of the semiparametric conditional independence assumption and provide their asymptotic properties. To overcome the problem caused by the parameter estimation effect, we employ a convenient multiplier bootstrap to approximate the limiting distributions of the test statistics.

Keywords: Conditional independence; Consistent tests; Empirical process; Integrated conditional moment; Multiplier bootstrap (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110253

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