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Faculty of Economics

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Linton, O., Whang, Y-J., Yen, Y.

The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses

CWPE1880

Abstract: We provide an estimator of the lower regression function and provide large sample properties for inference. We also propose a test of the hypothesis of positive expectation dependence and derive its limiting distribution under the null hypothesis and provide consistent critical values. We apply our methodology to several empirical questions.

Author links: Oliver Linton  

PDF: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1880.pdf

Open Access Link: https://doi.org/10.17863/CAM.36019