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Non-parametric hypothesis testing procedures and applications to demand analysis

Authors
Journal
Journal of Econometrics
0304-4076
Publisher
Elsevier
Publication Date
Volume
30
Identifiers
DOI: 10.1016/0304-4076(85)90136-8

Abstract

Abstract This paper proposes a test of the hypothesis that a (possibly vector-valued) regression function g lies in a particular compact family of functions F , where F is not necessarily a finite-dimensional parametric family. Under the assumption of a known covariance matrix of the errors, the test is shown to be consistent for a broad range of alternatives and an upper bound on the significance level is established. It is shown how the test may be used to test the utility maximization hypothesis and homotheticity, and the paper indicates how to apply the test to a broad range of other non-parametric hypotheses.

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