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- W4300106875 abstract "Semiparametric single-index assumptions are convenient and widely used dimen-sion reduction approaches that represent a compromise between the parametric and fully nonparametric models for regressions or conditional laws. In a mean regression setup, the SIM assumption means that the conditional expectation of the response given the vector of covariates is the same as the conditional expectation of the response given a scalar projection of the covariate vector. In a conditional distribution modeling, under the SIM assumption the conditional law of a response given the covariate vector coincides with the conditional law given a linear combination of the covariates. Several estimation techniques for single-index models are available and commonly used in applications. However, the problem of testing the goodness-of-fit seems less explored and the existing proposals still have some major drawbacks. In this paper, a novel kernel-based approach for testing SIM assumptions is introduced. The covariate vector needs not have a density and only the index estimated under the SIM assumption is used in kernel smoothing. Hence the effect of high-dimensional covariates is mitigated while asymptotic normality of the test statistic is obtained. Irrespective of the fixed dimension of the covariate vector, the new test detects local alternatives approaching the null hypothesis slower than $n^{-1/2}h^{-1/4},$ where $h$ is the bandwidth used to build the test statistic and $n$ is the sample size. A wild bootstrap procedure is proposed for finite sample corrections of the asymptotic critical values. The small sample performances of our test compared to existing procedures are illustrated through simulations." @default.
- W4300106875 created "2022-10-03" @default.
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- W4300106875 date "2014-10-18" @default.
- W4300106875 modified "2023-09-29" @default.
- W4300106875 title "Nonparametric model checks of single-index assumptions" @default.
- W4300106875 doi "https://doi.org/10.48550/arxiv.1410.4934" @default.
- W4300106875 hasPublicationYear "2014" @default.
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