[go: up one dir, main page]

IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpem/0411008.html
   My bibliography  Save this paper

Data-Driven Rate-Optimal Specification Testing In Regression Models

Author

Listed:
  • Emmanuel Guerre

    (LSTA-Université Paris 6)

  • Pascal Lavergne

    (University of Toulouse—GREMAQ & INRA)

Abstract
We propose new data-driven smooth tests for a parametric regression function. The smoothing parameter is selected through a new criterion that favors a large smoothing parameter under the null hypothesis. The resulting test is adaptive rate-optimal and consistent against Pitman local alternatives approaching the parametric model at a rate arbitrarily close to 1/\sqrt{n}. Asymptotic critical values come from the standard normal distribution and bootstrap can be used in small samples. A general formalization allows to consider a large class of linear smoothing methods, which can be tailored for detection of additive alternatives.

Suggested Citation

  • Emmanuel Guerre & Pascal Lavergne, 2004. "Data-Driven Rate-Optimal Specification Testing In Regression Models," Econometrics 0411008, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpem:0411008
    Note: Type of Document - pdf; pages: 30. Forthcoming in the Annals of Statistics
    as

    Download full text from publisher

    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0411/0411008.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Chen, Juei-Chao, 1994. "Testing goodness of fit of polynomial models via spline smoothing techniques," Statistics & Probability Letters, Elsevier, vol. 19(1), pages 65-76, January.
    2. Guerre, Emmanuel & Lavergne, Pascal, 2002. "Optimal Minimax Rates For Nonparametric Specification Testing In Regression Models," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1139-1171, October.
    3. Horowitz, Joel L & Spokoiny, Vladimir G, 2001. "An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative," Econometrica, Econometric Society, vol. 69(3), pages 599-631, May.
    4. Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June.
    5. Gozalo, Pedro L., 1997. "Nonparametric bootstrap analysis with applications to demographic effects in demand functions," Journal of Econometrics, Elsevier, vol. 81(2), pages 357-393, December.
    6. Joel Horowitz, 2000. "An Adaptive, Rate-Optimal Test of a Parametric Model Against a Nonparametric Alternative," Econometric Society World Congress 2000 Contributed Papers 0166, Econometric Society.
    7. E. Guerre & Pascal Lavergne, 2000. "Minimax Rates for Nonparametric Specification Testing in Regression Models," Econometric Society World Congress 2000 Contributed Papers 0644, Econometric Society.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2012. "Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors," Papers 1212.6906, arXiv.org, revised Jan 2018.
    2. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2012. "Central limit theorems and multiplier bootstrap when p is much larger than n," CeMMAP working papers 45/12, Institute for Fiscal Studies.
    3. Long Feng & Changliang Zou & Zhaojun Wang & Lixing Zhu, 2015. "Robust comparison of regression curves," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(1), pages 185-204, March.
    4. Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, vol. 3(3), pages 1-31, September.
    5. Pascal Lavergne & Valentin Patilea, 2011. "One for All and All for One: Regression Checks With Many Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 41-52, January.
    6. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    7. Stefan Sperlich, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 419-427, September.
    8. Lopez, O. & Patilea, V., 2009. "Nonparametric lack-of-fit tests for parametric mean-regression models with censored data," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 210-230, January.
    9. George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
    10. Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
    11. Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
    12. Mora, Juan & Moro-Egido, Ana I., 2008. "On specification testing of ordered discrete choice models," Journal of Econometrics, Elsevier, vol. 143(1), pages 191-205, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Juan Carlos Escanciano & Kyungchul Song, 2007. "Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects," PIER Working Paper Archive 07-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    2. Emmanuel Guerre & Pascal Lavergne, 2001. "Rate-optimal data-driven specification testing in regression models," Econometrics 0107001, University Library of Munich, Germany.
    3. Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
    4. Richard Blundell & Joel L. Horowitz, 2007. "A Non-Parametric Test of Exogeneity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1035-1058.
    5. Pascal Lavergne & Valentin Patilea, 2011. "One for All and All for One: Regression Checks With Many Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 41-52, January.
    6. Lavergne, Pascal & Patilea, Valentin, 2008. "Breaking the curse of dimensionality in nonparametric testing," Journal of Econometrics, Elsevier, vol. 143(1), pages 103-122, March.
    7. Horowitz, Joel L. & Lee, Sokbae, 2009. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," Journal of Econometrics, Elsevier, vol. 152(2), pages 141-152, October.
    8. Jia-Young Michael Fu & Joel L. Horowitz & Matthias Parey, 2015. "Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions," CeMMAP working papers 68/15, Institute for Fiscal Studies.
    9. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
    10. Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, vol. 3(3), pages 1-31, September.
    11. Olivier Lopez & Valentin Patilea, 2007. "Nonparametric Lack-of-fit Tests for Parametric Mean-Regression Model with Censored Data," Working Papers 2007-01, Center for Research in Economics and Statistics.
    12. Porter, Jack & Yu, Ping, 2015. "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, vol. 189(1), pages 132-147.
    13. Horowitz, Joel L. & Spokoiny, Vladimir G., 2000. "An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models," Working Papers 00-04, University of Iowa, Department of Economics.
    14. Stefan Sperlich, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 419-427, September.
    15. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
    16. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2022. "Optimal minimax rates against nonsmooth alternatives [Optimal testing for additivity in multiple nonparametric regression]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 322-339.
    17. Maistre, Samuel & Patilea, Valentin, 2020. "Testing for the significance of functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
    18. Otsu, Taisuke & Taylor, Luke, 2021. "Specification Testing For Errors-In-Variables Models," Econometric Theory, Cambridge University Press, vol. 37(4), pages 747-768, August.
    19. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2023. "Optimal minimax rates of specification testing with data-driven bandwidth," Econometric Reviews, Taylor & Francis Journals, vol. 42(6), pages 487-512, June.
    20. Emanuela Ciapanna & Marco Taboga, 2019. "Bayesian Analysis of Coefficient Instability in Dynamic Regressions," Econometrics, MDPI, vol. 7(3), pages 1-32, June.

    More about this item

    Keywords

    Hypothesis testing; nonparametric adaptive tests; selection methods;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0411008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.