Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62208
Authors: 
Härdle, Wolfgang
Mammen, Enno
Proença, Isabel
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,20
Abstract: 
Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal approximation. We prove that the statistic and its bootstrapped version have the same asymptotic distribution. In a simulation study we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better approximations to the true critical values and consequently it has a more accurate level than the normal approximation.
Subjects: 
bootstrap
kernel estimate
single index model
specification test
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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