Optimal minimax rates of specification testing with data-driven bandwidth
Optimal minimax rates of specification testing with data-driven bandwidth
This study investigates optimal minimax rates of specification testing for linear and non-linear instrumental variable regression models. The test constructed by non-parametric kernel techniques can be rate optimal when bandwidths are selected appropriately. Since bandwidths are often selected in a data-dependent way in empirical studies, the rate-optimality of the test …