An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models

Joel L. Horowitz () and Vladimir G. Spokoiny
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Joel L. Horowitz: University of Iowa
Vladimir G. Spokoiny: Weierstrass Institute for Applied Analysis and Stochastics

Working Papers from University of Iowa, Department of Economics

Abstract: This paper is concerned with testing the hypothesis that a conditional median function is linear against a nonparametric alternative with unknown smoothness. We develop a test that is uniformly consistent against alternatives whose distance from the linear model converges to zero at the fastest possible rate. The test accommodates conditional heteroskedasticity of unknown form. The numerical performance and usefulness of the test are illustrated by the results of Monte Carlo experiments and an empirical example.

Keywords: Hypothesis testing; local alternative; uniform consistency (search for similar items in EconPapers)
JEL-codes: C12 C14 C21 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2000-11
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Persistent link: https://EconPapers.repec.org/RePEc:uia:iowaec:00-04

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