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| HAL : hal-00708309, version 1 |
| DOI : 10.1198/jbes.2011.07152 |
| Fiche détaillée |  Récupérer au format |
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| Journal of business & economic statistics 30, 1 (2012) 41-52 |
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| One for All and All for One: Regression Checks With Many Regressors |
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| Pascal Lavergne 1, 2Valentin Patilea 3, 4 |
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| (2012) |
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| We develop a novel approach to building checks of parametric regression models when many regressors are present, based on a class of sufficiently rich semiparametric alternatives, namely single-index models. We propose an omnibus test based on the kernel method that performs against a sequence of directional nonparametric alternatives as if there was only one regressor whatever the number of regressors. This test can be viewed as a smooth version of the integrated conditional moment test of Bierens. Qualitative information can be easily incorporated into the procedure to enhance power. In an extensive comparative simulation study, we find that our test is not very sensitive to the smoothing parameter and performs well in multidimensional settings. We apply this test to a cross-country growth regression model. |
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| 1 : | Toulouse School of Economics (TSE) |
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Toulouse School of Economics |
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| 2 : | Simon Fraser University (SFU.ca) |
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Simon Fraser University |
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| 3 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| 4 : | Ecole Nationale de la Statistique et de l'Analyse de l'Information (ENSAI) |
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Ensai, Ecole Nationale de la Statistique et de l'Analyse de l'Information |
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| Statistique |
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| Domaine | : | Mathématiques/Statistiques Statistiques/Théorie |
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| Dimensionality – Hypothesis testing – Nonparametric methods |
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| hal-00708309, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00708309 | |
| oai:hal.archives-ouvertes.fr:hal-00708309 | |
| Contributeur : Marie-Annick Guillemer | |
| Soumis le : Jeudi 14 Juin 2012, 16:15:28 | |
| Dernière modification le : Vendredi 15 Juin 2012, 11:52:11 | |
