Tests for Independence in Nonparametric Regression

Consider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown. We construct tests for the independence of e and X, based on n independent copies of (X; Y). The testing procedures are based on differences of neighboring Y's. We establish asymptotic results for the proposed tests statistics, investigate their finite sample properties through a simulation study and present an econometric application to household data. The proofs are based on delicate empirical process theory

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Year of publication:	[2007]
Authors:	Einmahl, John H. J.
Other Persons:	Van Keilegom, Ingrid (contributor)
Publisher:	[2007]: [S.l.] : SSRN
Subject:	Nichtparametrisches Verfahren \| Nonparametric statistics \| Regressionsanalyse \| Regression analysis \| Schätztheorie \| Estimation theory \| Statistischer Test \| Statistical test

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