Economics at your fingertips  

A smooth simultaneous confidence band for correlation curve

Yuanyuan Zhang and Lijian Yang ()
Additional contact information
Yuanyuan Zhang: Tsinghua University

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2018, vol. 27, issue 2, 247-269

Abstract: Abstract A plug-in estimator is proposed for a local measure of variance explained by regression, termed correlation curve in Doksum et al. (J Am Stat Assoc 89:571–582, 1994), consisting of a two-step spline–kernel estimator of the conditional variance function and local quadratic estimator of first derivative of the mean function. The estimator is oracally efficient in the sense that it is as efficient as an infeasible correlation estimator with the variance function known. As a consequence of the oracle efficiency, a smooth simultaneous confidence band (SCB) is constructed around the proposed correlation curve estimator and shown to be asymptotically correct. Simulated examples illustrate the versatility of the proposed oracle SCB which confirms the asymptotic theory. Application to a 1995 British Family Expenditure Survey data has found marginally significant evidence for a local version of Engel’s law, i.e., food budget share and household real income are inversely related (Hamilton in Am Econ Rev 91:619–630, 2001).

Keywords: Confidence band; Correlation curve; Heteroscedasticity; Infeasible estimator; Local quadratic estimator; 62G05; 62G08; 62G10; 62G15; 62G20; 62P20 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-09-30
Handle: RePEc:spr:testjl:v:27:y:2018:i:2:d:10.1007_s11749-017-0543-5