A nonparametric test for equality of distributions with mixed categorical and continuous data

Journal of Econometrics

Volumn 148, Issue 2, 2009, Pages 186-200

  Li, Qi ^a,b   Maasoumi, Esfandiar ^c   Racine, Jeffrey S ^d  

^a TEXAS A AND M UNIVERSITY   (United States)

^b TSINGHUA UNIVERSITY   (China)

^c EMORY UNIVERSITY   (United States)

^d MCMASTER UNIVERSITY   (Canada)

Author keywords

Cross validation; Density testing; Mixed discrete and continuous variables; Nonparametric smoothing

Indexed keywords

ASYMPTOTIC ANALYSIS; IMAGE SEGMENTATION; STATISTICAL TESTS;

BOOTSTRAP METHODS; CONDITIONAL DENSITY FUNCTIONS; CONTINUOUS DATUM; CROSS-VALIDATION; DENSITY TESTING; EDUCATIONAL ATTAINMENTS; JOINT DISTRIBUTIONS; LEAST-SQUARES; MIXED DATUM; MIXED DISCRETE AND CONTINUOUS VARIABLES; NONPARAMETRIC SMOOTHING; NONPARAMETRIC TESTS; NULL DISTRIBUTIONS; SMOOTHING PARAMETERS;

TESTING;

EID: 59349111172     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.10.007     Document Type: Article

References (34)

1. Ahmad I., and van Belle G. Measuring affinity of distributions. In: Proschan, and Serfling R. (Eds). Reliability and Biometry, Statistical Analysis of Life Testing (1974), SIAM
2. Ahmad I.A., and Li Q. Testing independence by nonparametric kernel method. Statistics and Probability Letters 34 (1997) 201-210
3. Aitchison J., and Aitken C.G.G. Multivariate binary discrimination by the kernel method. Biometrika 63 3 (1976) 413-420
4. Anderson G. The power and size of nonparametric tests for common distributional characteristics. Econometric Reviews 20 1 (2001) 1-30
5. Anderson N.H., Hall P., and Titterington D.M. Two-sample test statistics for measuring discrepancies between two multivariate probability density functions using kernel-based density estimates. Journal of Multivariate Analysis 50 (1994) 41-54
6. Bhattacharya R.N., and Rao R.R. Normal Approximations and Asymptotic Expansions (1986), R.E. Krieger Publishing Company
7. Billingsley P. Convergence of Probability Measures (1968), Wiley
8. Davidson R., and MacKinnon J.G. Bootstrap tests: How many bootstraps?. Econometric Reviews 19 (2000) 55-68
9. de Jong P. A central limit theorem for generalized quadratic forms. Probability Theory and Related Fields 75 (1987) 261-277
10. Fan Y. Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters. Econometric Theory 14 (1998) 604-621
11. Fan Y., and Gencay R. Hypothesis testing based on modified nonparametric estimation of an affinity measure between two distributions. Journal of Nonparametric Statistics 4 (1993) 389-403
12. Fan Y., and Li Q. Central limit theorem for degenerate u-statistics of absolute regular processes with application to model specification testing. Journal of Nonparametric Statistics 10 (1999) 245-271
13. Fan Y., and Li Q. Consistent model specification tests: Kernel-based tests versus Bierens's icm tests. Econometric Theory 16 (2000) 1016-1041
14. Fan Y., and Ullah A. On goodness-of-fit tests for weakly dependent processes using kernel method. Journal of Nonparametric Statistics 11 (1999) 337-360
15. Ghosh B.K., and Huang W.M. The power and optimal kernel of the Bickel-Rosenblatt test for goodness-of-fit. Annals of Statistics 19 (1991) 999-1009
16. Grund B., and Hall P. On the performance of kernel estimators for high-dimensional sparse binary data. Journal of Multivariate Analysis 44 (1993) 321-344
17. Hall P. On nonparametric multivariate binary discrimination. Biometrika 68 1 (1981) 287-294
18. Hall P. Central limit theorem for integrated square error of multivariate nonparametric density estimators. Journal of Multivariate Analysis 14 (1984) 1-16
19. Hall P., Li Q., and Racine J.S. Nonparametric estimation of regression functions in the presence of irrelevant regressors. The Review of Economics and Statistics 89 (2007) 784-789
20. Hall P., Racine J.S., and Li Q. Cross-validation and the estimation of conditional probability densities. Journal of the American Statistical Association 99 468 (2004) 1015-1026
21. Hong Y., and White H. Asymptotic distribution theory for nonparametric entropy measures of serial dependence. Econometrica 73 3 (2005) 837-901
22. Kiefer, N.M., Racine, J.S., 2008. The smooth colonel meets the reverend. Manuscript. Cornell University
23. Lee J. U-statistics: Theory and Practice (1990), Marcel Dekker, New York
24. Li Q. Nonparametric testing of closeness between two unknown distributions. Econometric Reviews 15 (1996) 261-274
25. Li Q., and Racine J. Nonparametric estimation of distributions with categorical and continuous data. Journal of Multivariate Analysis 86 (2003) 266-292
26. Mammen E. When does bootstrap work?. Asymptotic Results and Simulations (1992), Springer-Verlag, New York
27. 2 bracketing. The Annals of Probability 15 3 (1987) 897-919
28. Ouyang D., Li Q., and Racine J.S. Cross-validation and the estimation of probability distributions with categorical data. Journal of Nonparametric Statistics 18 1 (2006) 69-100
29. Racine J., and Maasoumi E. A versatile and robust metric entropy test of time reversibility and dependence. Journal of Econometrics 138 (2007) 547-567
30. Robinson P.M. Consistent nonparametric entropy-based testing. Review of Economic Studies 58 (1991) 437-453
31. Rosenblatt M. A quadratic measure of deviation of two-dimensional density estimates and a test of independence. Annals of Statistics 3 (1975) 1-14
32. Scott D.W. Multivariate Density Estimation: Theory, Practice, and Visualization (1992), Wiley
33. Simonoff J.S. Smoothing Methods in Statistics (1996), Springer
34. Stone C.J. An asymptotically optimal window selection rule for kernel density estimates. Annals of Statistics 12 (1984) 1285-1297