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1999-01-01Buch DOI: 10.18452/3684
An adaptive, rate-optimal test of a parametric model against a nonparametric alternative
dc.contributor.authorHorowitz, Joel L.
dc.contributor.authorSpokoiny, Vladimir
dc.date.accessioned2017-06-15T21:47:31Z
dc.date.available2017-06-15T21:47:31Z
dc.date.created2006-01-13
dc.date.issued1999-01-01
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4336
dc.description.abstractWe develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the fastest possible rate. This rate is slower than n-1/2. Some existing tests have non-trivial power against restricted classes of alternatives whose distance from the parametric model decreases at the rate n-1/2. There are, however, sequences of alternatives against which these tests are inconsistent and ours is consistent. As a consequence, there are alternative models for which the finite-sample power of our test greatly exceeds that of existing tests. This conclusion is illustrated by the results of some Monte Carlo experiments.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectHypothesis testingeng
dc.subjectlocal alternativeeng
dc.subjectuniform consistencyeng
dc.subjectasymptotic powereng
dc.subject.ddc330 Wirtschaft
dc.titleAn adaptive, rate-optimal test of a parametric model against a nonparametric alternative
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056063
dc.identifier.doihttp://dx.doi.org/10.18452/3684
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages38
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1999
local.edoc.container-issue10
local.edoc.container-year1999
local.edoc.container-erstkatid2135319-0

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