English

Testing nonparametric shape restrictions

Methodology 2020-06-09 v2 Econometrics Statistics Theory Statistics Theory

Abstract

We describe and examine a test for a general class of shape constraints, such as constraints on the signs of derivatives, U-(S-)shape, symmetry, quasi-convexity, log-convexity, rr-convexity, among others, in a nonparametric framework using partial sums empirical processes. We show that, after a suitable transformation, its asymptotic distribution is a functional of the standard Brownian motion, so that critical values are available. However, due to the possible poor approximation of the asymptotic critical values to the finite sample ones, we also describe a valid bootstrap algorithm.

Keywords

Cite

@article{arxiv.1909.01675,
  title  = {Testing nonparametric shape restrictions},
  author = {Tatiana Komarova and Javier Hidalgo},
  journal= {arXiv preprint arXiv:1909.01675},
  year   = {2020}
}

Comments

62 pages, 6 figures, 11 tables