Article ID Journal Published Year Pages File Type
1146983 Journal of Multivariate Analysis 2009 16 Pages PDF
Abstract

We propose a new test for independence of error and covariate in a nonparametric regression model. The test statistic is based on a kernel estimator for the L2L2-distance between the conditional distribution and the unconditional distribution of the covariates. In contrast to tests so far available in literature, the test can be applied in the important case of multivariate covariates. It can also be adjusted for models with heteroscedastic variance. Asymptotic normality of the test statistic is shown. Simulation results and a real data example are presented.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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