The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses
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Linton, O.
Whang, Y-J.
Yen, Y.
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.
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Faculty of Economics