A consistent nonparametric test of the convexity of regression based on least squares splines

Cheikh A. T. Diack

No 1998,44, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to infinity if the convexity is misspecified. Therefore, the test is consistent against all deviations from the null hypothesis.

Keywords: least squares estimator; test of convexity; Likelihood ratio test; convex cone (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199844

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