 An equality test across nonparametric regressionsNo 1998,79, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Abstract: A procedure for testing equality across nonparametric regressions is proposed. The procedure allows for any dimension of the explanatory variables and for any number of subsamples. We consider the case of random explanatory variables and allow the designs of the regressors and the number of observations to dier across subsamples. The division into subsamples is defined through a variable C which can be either fixed or random. In the case of a random C, our procedure is a general test of significance for qualitative variables in a nonparametric regression. In the case of a fixed C, our procedure provides a 'nonparametric analysis of covariance'. In both case, the test is a one-sided normal test and is consistent against all alternatives. We study its small sample behavior through Monte-Carlo simulations. Keywords: Nonparametric regression; Hypothesis testing; Qualitative variables; Covariance analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199879 Access Statistics for this paper More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC. |
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