A Projection Framework for Testing Shape Restrictions That Form Convex Cones

DOI10.3982/ECTA17764MaRDI QIDQ6100263zbMATH OpenFDO

Authors Zheng Fang, Juwon Seo

Publication date 12 May 2023

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.07689

zbMATH Keywords

projectionconvex coneshape restrictionsstrong approximationsnonstandard inference

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: This paper develops a uniformly valid and asymptotically nonconservative test based on projection for a class of shape restrictions. The key insight we exploit is that these restrictions form convex cones, a simple and yet elegant structure that has been barely harnessed in the literature. Based on a monotonicity property afforded by such a geometric structure, we construct a bootstrap procedure that, unlike many studies in nonstandard settings, dispenses with estimation of local parameter spaces, and the critical values are obtained in a way as simple as computing the test statistic. Moreover, by appealing to strong approximations, our framework accommodates nonparametric regression models as well as distributional/density-related and structural settings. Since the test entails a tuning parameter (due to the nonstandard nature of the problem), we propose a data-driven choice and prove its validity. Monte Carlo simulations confirm that our test works well.

Cited in

(4)

• Stratified incomplete local simplex tests for curvature of nonparametric multiple regression
• Limitations on the Expressive Power of Convex Cones without Long Chains of Faces
• A study of projectionally exposed cones
• Inference for large-scale linear systems with known coefficients

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