Testing the equality of nonparametric regression curves

Miguel Delgado ()

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: This paper proposes a test for the equality of nonparametric regression curves that does not depend on the choice of a smoothing number. The test statistic is a weighted empirical process easy to compute. It is powerful under alternatives that converge to the null at a rate n­½. The disturbance distributions are arbitrary and possibly unequal, and conditions on the regressors distribution are very mild. A simulation study demonstrates that the test enjoys good level and power properties in small samples. We also study extensions to multiple regression, and testing the equality of several regression curves.

Keywords: Nonparametric; testing; Weighted; empirical; process; Donsker`s; invariance; principle; Brownian; motion; Local; alternatives (search for similar items in EconPapers)
Date: 1992-04
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Journal Article: Testing the equality of nonparametric regression curves (1993)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:2826

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