Joint Econometrics and Statistics Workshop
A simple test for monotonicity and monotonicity-related properties
Javier Hidalgo (LSE), joint with Tatiana Komarova
Friday 08 December 2017 12:00 - 13:00
Due to the onging coronavirus outbreak, many of our seminars and public events this year will continue as online seminars. Please check our website listings and Twitter feed @STICERD_LSE for updates.
About this event
We describe and examine a test for shape constraints, such as monotonicity, convexity (or both such properties simultaneously), or U-shape, in a nonparametric framework using partial sums empirical process. We show that, after a suitable transformation, its asymptotic distribution is a functional of the standard Brownian motion, so that critical values are available. However, due to the possible poor approximation of the asymptotic critical values to the finite sample ones, we also describe a valid bootstrap algorithm. In addition, we outline how the methodology can be extended to a framework when other covariates are present and no shape-related properties are imposed on them.
Econometrics and Statistics seminars are held on Fridays in term time at 12:00-13:00, ONLINE, unless specified otherwise.
Seminar organisers: Dr Tatiana Komarova and Dr Yunxiao Chen.
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