A bootstrap test for single index models
Autor(a) principal: | |
---|---|
Data de Publicação: | 2001 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/28082 |
Resumo: | Single index model are frequently used econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. in this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal approximation. We prove that the statistic and the statistic and its bootstrapped version have the same asymptotic distribution. In a simulation study we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better approximations to the true critical values and consequently it has accurate level than the normal approximation. |
id |
RCAP_7042bb7feda6cf838cb047de404caec2 |
---|---|
oai_identifier_str |
oai:www.repository.utl.pt:10400.5/28082 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
A bootstrap test for single index modelsBootstrapKernel EstimateSingle Index Model Specification TestSingle index model are frequently used econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. in this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal approximation. We prove that the statistic and the statistic and its bootstrapped version have the same asymptotic distribution. In a simulation study we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better approximations to the true critical values and consequently it has accurate level than the normal approximation.Taylor & FrancisRepositório da Universidade de LisboaHärdle, WolfgangMammen, EnnoProença, Isabel2023-08-04T15:54:56Z20012001-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/28082engHärdle, Wolfgang, Enno Mammen and Isabel Proenca .(2001). “ A bootstrap test for single index models”. Statistics: A Journal of Theoretical and Applied Statistics, Vol. 35, No. 4: pp. 427-451. DOI: 10.1080/02331880108802746. (Search PDF in 2023).10.1080/02331880108802746info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-13T01:31:07Zoai:www.repository.utl.pt:10400.5/28082Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:26:55.943098Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
A bootstrap test for single index models |
title |
A bootstrap test for single index models |
spellingShingle |
A bootstrap test for single index models Härdle, Wolfgang Bootstrap Kernel Estimate Single Index Model Specification Test |
title_short |
A bootstrap test for single index models |
title_full |
A bootstrap test for single index models |
title_fullStr |
A bootstrap test for single index models |
title_full_unstemmed |
A bootstrap test for single index models |
title_sort |
A bootstrap test for single index models |
author |
Härdle, Wolfgang |
author_facet |
Härdle, Wolfgang Mammen, Enno Proença, Isabel |
author_role |
author |
author2 |
Mammen, Enno Proença, Isabel |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Härdle, Wolfgang Mammen, Enno Proença, Isabel |
dc.subject.por.fl_str_mv |
Bootstrap Kernel Estimate Single Index Model Specification Test |
topic |
Bootstrap Kernel Estimate Single Index Model Specification Test |
description |
Single index model are frequently used econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. in this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal approximation. We prove that the statistic and the statistic and its bootstrapped version have the same asymptotic distribution. In a simulation study we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better approximations to the true critical values and consequently it has accurate level than the normal approximation. |
publishDate |
2001 |
dc.date.none.fl_str_mv |
2001 2001-01-01T00:00:00Z 2023-08-04T15:54:56Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/28082 |
url |
http://hdl.handle.net/10400.5/28082 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Härdle, Wolfgang, Enno Mammen and Isabel Proenca .(2001). “ A bootstrap test for single index models”. Statistics: A Journal of Theoretical and Applied Statistics, Vol. 35, No. 4: pp. 427-451. DOI: 10.1080/02331880108802746. (Search PDF in 2023). 10.1080/02331880108802746 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Taylor & Francis |
publisher.none.fl_str_mv |
Taylor & Francis |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799133537555709952 |