{"title":"Optimal minimax rates of specification testing with data-driven bandwidth","authors":"K. Hitomi, Masamune Iwasawa, Y. Nishiyama","doi":"10.1080/07474938.2023.2198929","DOIUrl":null,"url":null,"abstract":"Abstract This study investigates optimal minimax rates of specification testing for linear and non-linear instrumental variable regression models. The test constructed by non-parametric kernel techniques can be rate optimal when bandwidths are selected appropriately. Since bandwidths are often selected in a data-dependent way in empirical studies, the rate-optimality of the test with data-driven bandwidths is investigated. While least squares cross-validation selects bandwidths that are optimal for estimation, it is shown not to be optimal for testing. Thus, we propose a novel bandwidth selection method for testing, the performance of which is investigated in a simulation study.","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"42 1","pages":"487 - 512"},"PeriodicalIF":0.8000,"publicationDate":"2023-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Reviews","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/07474938.2023.2198929","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract This study investigates optimal minimax rates of specification testing for linear and non-linear instrumental variable regression models. The test constructed by non-parametric kernel techniques can be rate optimal when bandwidths are selected appropriately. Since bandwidths are often selected in a data-dependent way in empirical studies, the rate-optimality of the test with data-driven bandwidths is investigated. While least squares cross-validation selects bandwidths that are optimal for estimation, it is shown not to be optimal for testing. Thus, we propose a novel bandwidth selection method for testing, the performance of which is investigated in a simulation study.
期刊介绍：
Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.
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