Arbeitspapier
A bootstrap test for single index models
Single index models are frequently used in 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 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 a more accurate level than the normal approximation.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2000,20
- Klassifikation
-
Wirtschaft
- Thema
-
bootstrap
kernel estimate
single index model
specification test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Härdle, Wolfgang
Mammen, Enno
Proença, Isabel
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:kobv:11-10047246
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Härdle, Wolfgang
- Mammen, Enno
- Proença, Isabel
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2000
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