A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS. (20th October 2021)

• Record Type: Journal Article
• Authors: Yao, Feng; Wang, Taining
• Is Part Of: Econometric theory. Volume 37:Number 5(2021)
• Page Start: 959
• Page End: 1003
• Publication Date: 2021-10-20
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S0266466620000407
• Languages: English
• ISSNs: 0266-4666

Abstract

Abstract : We propose a nonparametric test of significant variables in the partial derivative of a regression mean function. The derivative is estimated by local polynomial estimation and the test statistic is constructed through a variation-based measure of the derivative in the direction of variables of interest. We establish the asymptotic null distribution of the test statistic and demonstrate that it is consistent. Motivated by the null distribution, we propose a wild bootstrap test, and show that it exhibits the same null distribution, whether the null is valid or not. We perform a Monte Carlo study to demonstrate its encouraging finite sample performance. An empirical application is conducted showing how the test can be applied to infer certain aspects of regression structures in a hedonic price model.