JSM 2005 - Toronto

Abstract #302587

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 428
Type: Invited
Date/Time: Wednesday, August 10, 2005 : 2:00 PM to 3:50 PM
Sponsor: Business and Economics Statistics Section
Abstract - #302587
Title: A Nonparametric Wald Test of General Nonlinear Restrictions
Author(s): Jeffrey Racine*+
Companies: McMaster University
Address: , Hamilton, ON, , Canada
Keywords: Hypothesis Testing ; Nonparametric ; Restrictions
Abstract:

The testing of equality restrictions is a cornerstone of applied data analysis. In particular, a number of popular economic hypotheses can be cast in this framework, including individual and joint tests of significance, omitted variable tests, tests of constancy of regression response, and homogeneity restrictions. Each of these hypotheses can be expressed in the form of equality restrictions on the first-order partial derivatives of an unknown conditional mean. While a wide variety of parametric tests exist, they often are criticized due to their reliance on parametric models, which, if misspecified, yield tests having invalid size and power. A nonparametric test of equality restrictions would clearly be appealing; however, a few obstacles must be overcome in order to implement a fully nonparametric test.

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