- John Einmahl – Tilburg University – The Netherlands
- FCUL (DEIO) – Campo Grande – Bloco C/6 Piso 4 – Sala 6.4.30- 14h 30m
- Quarta-feira, 19 de Março de 2008
Abstract: 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 huosehold data. The proofs are based on delicate empirical process theory.
JEL classifications. C12, C14, C52
Short running title. Tests for independence
Key words and phrases. Empirical process, model diagnostics, nonparametric regression, test for independence, weak convergence.