### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Econometrics |

Number of pages | 19 |

Volume | 2006-80 |

Publication status | Published - 2006 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2006-80 |

### Fingerprint

### Keywords

- empirical process
- model diagnostics
- nonparametric regression
- test for independence
- weak convergence

### Cite this

*Tests for Independence in Nonparametric Regression*. (CentER Discussion Paper; Vol. 2006-80). Tilburg: Econometrics.

}

**Tests for Independence in Nonparametric Regression.** / Einmahl, J.H.J.; van Keilegom, I.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Tests for Independence in Nonparametric Regression

AU - Einmahl, J.H.J.

AU - van Keilegom, I.

N1 - Subsequently published in Statistica Sinica, 2008 Pagination: 19

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

KW - empirical process

KW - model diagnostics

KW - nonparametric regression

KW - test for independence

KW - weak convergence

M3 - Discussion paper

VL - 2006-80

T3 - CentER Discussion Paper

BT - Tests for Independence in Nonparametric Regression

PB - Econometrics

CY - Tilburg

ER -