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An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models

Author

Listed:
  • Horowitz, Joel L.

    (University of Iowa)

  • Spokoiny, Vladimir G.

    (Weierstrass Institute for Applied Analysis and Stochastics)

Abstract

This paper is concerned with testing the hypothesis that a conditional median function is linear against a nonparametric alternative with unknown smoothness. We develop a test that is uniformly consistent against alternatives whose distance from the linear model converges to zero at the fastest possible rate. The test accommodates conditional heteroskedasticity of unknown form. The numerical performance and usefulness of the test are illustrated by the results of Monte Carlo experiments and an empirical example.

Suggested Citation

  • 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.
    • Handle: RePEc:uia:iowaec:00-04
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    References listed on IDEAS

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    More about this item

    Keywords

    Hypothesis testing; local alternative; uniform consistency;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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