The lower regression function and testing expectation dependence dominance hypotheses

Oliver Linton, Yoon Jae Whang and Yu-Min Yen

Econometric Reviews, 2021, vol. 40, issue 8, 709-727

Abstract: We provide an estimator of the lower regression function and provide large sample properties for inference. We also propose a test of the hypothesis of positive expectation dependence and derive its limiting distribution under the null hypothesis and provide consistent critical values. We apply our methodology to the question of portfolio choice and to the question of the relation of growth to public debt.

Date: 2021
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Related works:
Working Paper: The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses (2018)
Working Paper: The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses (2018)
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DOI: 10.1080/07474938.2021.1889177

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