Testing functional inequalities

Sokbae (Simon) Lee, Kyungchui (Kevin) Song and Yoon-Jae Whang
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Kyungchui (Kevin) Song: Institute for Fiscal Studies

No CWP12/11, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper develops tests for inequality constraints of nonparametric regression functions. The test statistics involve a one-sided version of L p -type functionals of kernel estimators. Drawing on the approach of Poissonization, this paper establishes that the tests are asymptotically distribution free, admitting asymptotic normal approximation. Furthermore, the tests have nontrivial local power against a certain class of local alternatives converging to the null at the rate of n -1/2 . Some results from Monte Carlo simulations are presented.

Date: 2011-02-22
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (10)

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Journal Article: Testing functional inequalities (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:12/11

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