Testing functional inequalities

DOI10.1016/J.JECONOM.2012.08.006zbMATH Open1443.62101arXiv1208.2733OpenAlexW2952113038MaRDI QIDQ528113FDOQ528113

Sokbae Lee, Yoon-Jae Whang, Kyungchul Song

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: This paper develops tests for inequality constraints of nonparametric regression functions. The test statistics involve a one-sided version of $L_p$-type functionals of kernel estimators $(1leqp<infty)$. Drawing on the approach of Poissonization, this paper establishes that the tests are asymptotically distribution free, admitting asymptotic normal approximation. In particular, the tests using the standard normal critical values have asymptotically correct size and are consistent against general fixed alternatives. Furthermore, we establish conditions under which the tests have nontrivial local power against Pitman local alternatives. Some results from Monte Carlo simulations are presented.

Full work available at URL: https://arxiv.org/abs/1208.2733

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zbMATH Keywords

kernel estimationlocal powerPoissonization\(L_p\) normconditional moment inequalitiesone-sided test

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cited In (28)

• TESTING GENERALIZED REGRESSION MONOTONICITY
• Distribution-free tests of conditional moment inequalities
• Moment inequalities for multinomial choice with fixed effects
• Testing convexity of functions over finite domains
• Multiscale adaptive inference on conditional moment inequalities
• Testing treatment effect heterogeneity in regression discontinuity designs
• Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
• Nonparametric inference based on conditional moment inequalities
• Test functions in constrained interpolation
• Asymptotically exact inference in conditional moment inequality~models
• Nonparametric estimation and inference under shape restrictions
• Sur la convergence des tests de Schlee et de Yatchew
• Testing multiple inequality hypotheses: a smoothed indicator approach
• TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES
• Estimating unobserved individual heterogeneity using pairwise comparisons
• Inference in ordered response games with complete information
• Inference based on many conditional moment inequalities
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• Bahadur intercept with applications to one-sided testing
• A simple test for moment inequality models with an application to English auctions
• Efficient nonparametric testing by functional estimation
• Tests of Additive Derivative Constraints
• ADAPTIVE TESTS OF CONDITIONAL MOMENT INEQUALITIES
• Nonparametric tests for strategic interaction effects with rationalizability
• Tests against inequality constraints in semiparametric models
• Asymptotic inference for the constrained quantile regression process
• Testing elementary function identities using CAD
• On the choice of test statistic for conditional moment inequalities

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