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Tests for independence in non-parametric heteroscedastic regression models

Author

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  • Hlávka, Zdenek
  • Husková, Marie
  • Meintanis, Simos G.

Abstract

Consistent procedures are constructed for testing independence between the regressor and the error in non-parametric regression models. The tests are based on the Fourier formulation of independence, and utilize the joint and the marginal empirical characteristic functions of the regressor and of estimated residuals. The asymptotic null distribution as well as the behavior of the test statistic under alternatives is investigated. A simulation study compares bootstrap versions of the proposed tests to corresponding procedures utilizing the empirical distribution function.

Suggested Citation

  • Hlávka, Zdenek & Husková, Marie & Meintanis, Simos G., 2011. "Tests for independence in non-parametric heteroscedastic regression models," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 816-827, April.
    • Handle: RePEc:eee:jmvana:v:102:y:2011:i:4:p:816-827
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    References listed on IDEAS

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    1. Einmahl, John H.J. & Van Keilegom, Ingrid, 2008. "Specification tests in nonparametric regression," Journal of Econometrics, Elsevier, vol. 143(1), pages 88-102, March.
    2. Neumeyer, Natalie, 2009. "Testing independence in nonparametric regression," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1551-1566, August.
    3. Einmahl, J.H.J. & van Keilegom, I., 2006. "Tests for Independence in Nonparametric Regression," Other publications TiSEM 0c6f2c43-aa7d-45c1-9d43-7, Tilburg University, School of Economics and Management.
    4. Bilodeau, M. & Lafaye de Micheaux, P., 2005. "A multivariate empirical characteristic function test of independence with normal marginals," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 345-369, August.
    5. Meintanis, Simos G. & Iliopoulos, George, 2008. "Fourier methods for testing multivariate independence," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1884-1895, January.
    6. Marie Hušková & Simos Meintanis, 2010. "Tests for the error distribution in nonparametric possibly heteroscedastic regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(1), pages 92-112, May.
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    Cited by:

    1. M. D. Jiménez-Gamero & J. L. Moreno-Rebollo & J. A. Mayor-Gallego, 2018. "On the estimation of the characteristic function in finite populations with applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 95-121, March.
    2. Hušková, Marie & Meintanis, Simos G. & Pretorius, Charl, 2020. "Tests for validity of the semiparametric heteroskedastic transformation model," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    3. Florens, Jean-Pierre & Simar, Léopold & Van Keilegom, Ingrid, 2014. "Frontier estimation in nonparametric location-scale models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 456-470.
    4. Simos Meintanis, 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 432-436, September.
    5. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "Rejoinder 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 442-447, September.
    6. Van Keilegom, Ingrid, 2013. "Discussion on: "An updated review of Goodness-of-Fit tests for regression models" (by W. Gonzales-Manteiga and R.M. Crujeiras)," LIDAM Discussion Papers ISBA 2013008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Simar, Léopold & Vanhems, Anne & Van Keilegom, Ingrid, 2016. "Unobserved heterogeneity and endogeneity in nonparametric frontier estimation," Journal of Econometrics, Elsevier, vol. 190(2), pages 360-373.
    8. Sankar, Subhra & Bergsma, Wicher & Dassios, Angelos, 2017. "Testing independence of covariates and errors in nonparametric regression," LSE Research Online Documents on Economics 83780, London School of Economics and Political Science, LSE Library.
    9. Chen, Feifei & Meintanis, Simos G. & Zhu, Lixing, 2019. "On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 125-144.
    10. Ingrid Van Keilegom, 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 428-431, September.
    11. Meintanis, Simos G. & Hušková, Marie & Hlávka, Zdeněk, 2022. "Fourier-type tests of mutual independence between functional time series," Journal of Multivariate Analysis, Elsevier, vol. 189(C).

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