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, -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.
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