Optimal minimax rates of specification testing with data-driven bandwidth
研究了线性与非线性工具变量回归模型设定检验的最优极小化极大速率，发现最小二乘交叉验证选择的带宽对检验并非最优，并提出了新的检验用带宽选择方法。
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 with data-driven bandwidths is investigated. While least squares cross-validation selects bandwidths that are optimal for estimation, it is shown not to be optimal for testing. Thus, we propose a novel bandwidth selection method for testing, the performance of which is investigated in a simulation study.