Local rank tests in a multivariate nonparametric relationship

Natércia Fortuna

No 446, Econometric Society 2004 North American Summer Meetings from Econometric Society

Abstract: Consider a multivariate nonparametric model where the unknown vector of functions depends on two sets of explanatory variables. For a fixed level of one set of explanatory variables, we provide consistent statistical tests, called local rank tests, to determine whether the multivariate relationship can be explained by a smaller number of functions. We also provide estimators for the smallest number of functions, called local rank, explaining the relationship. The local rank tests and the estimators of the local rank are based on the asymptotics of the eigenvalues of some matrix. This matrix is estimated by using kernel-based methods and the asymptotics of its eigenvalues is established by using the so-called Fujikoshi expansions along with some techniques of the theory of U-statistics. We present a simulation study which examines small sample properties of local rank tests. We also apply the local rank tests and the local rank estimators of the paper to a demand system given by a newly constructed data set. Our results can be viewed as localized counterparts of tests for a number of factors in a nonparametric relationship introduced by Donald

Keywords: Nonparametric relationship; local rank; local rank estimation; kernel smoothing; consistent tests; demand systems. (search for similar items in EconPapers)
JEL-codes: D12 (search for similar items in EconPapers)
Date: 2004-08-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://repec.org/esNASM04/up.1031.1075508951.pdf (application/pdf)

Related works:
Journal Article: Local rank tests in a multivariate nonparametric relationship (2008)
Working Paper: Local rank tests in a multivariate nonparametric relationship (2004)
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: https://EconPapers.repec.org/RePEc:ecm:nasm04:446

Access Statistics for this paper

More papers in Econometric Society 2004 North American Summer Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum (baum@bc.edu).