Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,44
This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to infinity if the convexity is misspecified. Therefore, the test is consistent against all deviations from the null hypothesis.
least squares estimator test of convexity Likelihood ratio test convex cone