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Lavergne, Pascal
(2001)
An Equality Test Across Nonparametric Regressions.
Journal of Econometrics, vol. 103 (n° 1-2).
pp. 307-344.
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Abstract
We propose a procedure for testing the equality of several nonparametric multivariate regressions. We allow the regressors’ designs and the number of observations to differ across subsamples. The division into subsamples is defined through a variable C which can be either fixed or random. For a random C, our procedure is a general test of significance for qualitative variables in a nonparametric regression. For a fixed C, our procedure provides a ‘nonparametric analysis of covariance’, which is valid for cross-section or panel data. In both cases, the test is a one-sided normal test and is consistent against all alternatives.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | July 2001 |
| Refereed: | Yes |
| Uncontrolled Keywords: | Hypothesis testing, Nonparametric methods, Qualitative variables, Covariance analysis |
| JEL Classification: | C14 - Semiparametric and Nonparametric Methods C52 - Model Evaluation and Selection |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 10 Jan 2022 13:53 |
| Last Modified: | 02 Feb 2022 08:40 |
| OAI Identifier: | oai:tse-fr.eu:126317 |
| URI: | https://publications.ut-capitole.fr/id/eprint/44144 |
