Testing the equality of linear single-index models |
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Authors: | Wei Lin |
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Institution: | a Department of Mathematics, Ohio University, Athens, OH 45701, USA b Department of Mathematical Sciences, Clemson University, Clemson, SC 29631, USA |
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Abstract: | Comparison of nonparametric regression models has been extensively discussed in the literature for the one-dimensional covariate case. The comparison problem largely remains open for completely nonparametric models with multi-dimensional covariates. We address this issue under the assumption that models are single-index models (SIMs). We propose a test for checking the equality of the mean functions of two (or more) SIM’s. The asymptotic normality of the test statistic is established and an empirical study is conducted to evaluate the finite-sample performance of the proposed procedure. |
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Keywords: | primary 62G08 secondary 62G20 |
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