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SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA

Published online by Cambridge University Press:  02 August 2011

Frederic Ferraty ,
Alejandro Quintela-del-Río  and
Philippe Vieu
Frederic Ferraty
Affiliation:
Université Paul Sabatier
Alejandro Quintela-del-Río*
Affiliation:
Universidad de A Coruña
Philippe Vieu
Affiliation:
Université Paul Sabatier
*
*Address correspondence to Alejandro Quintela-del-Río, Universidad de A Coruña, Campus de Elviña s/n, 15071 A. Coruña, Spain; e-mail: aquintela@udc.es.
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Abstract

In this paper we construct a statistic to test a specific form of the conditional density function. The main point of this work is to consider a functional explanatory variable, and the statistic is constructed following recent advances in nonparametric functional data analysis. The asymptotic behavior of the test statistic is studied under both the null hypothesis and some local alternative hypothesis. Then, the finite sample behavior of the method is studied through simulated examples. This paper is one of the first in the setting of nonparametric specification tests when functional data are involved.

Type
ARTICLES
Information
Econometric Theory , Volume 28 , Issue 2 , April 2012 , pp. 363 - 386
Copyright
Copyright © Cambridge University Press 2011

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