Tests for independence in nonparametric regression

John Einmahl and Ingrid Van Keilegom
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Ingrid Van Keilegom: Tilburg University, Center for Economic Research

No 80, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: Consider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown. We construct tests for the independence of e and X, based on n independent copies of (X; Y ). The testing procedures are based on differences of neighboring Y 's. We establish asymptotic results for the proposed tests statistics, investigate their finite sample properties through a simulation study and present an econometric application to household data. The proofs are based on delicate empirical process theory.

JEL-codes: C12 C14 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:200680

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