np.sigtest: Kernel Regression Significance Test with Mixed Data Types

npsigtestR Documentation

Kernel Regression Significance Test with Mixed Data Types

Description

npsigtest implements a consistent test of significance of an explanatory variable(s) in a nonparametric regression setting that is analogous to a simple t-test (F-test) in a parametric regression setting. The test is based on Racine, Hart, and Li (2006) and Racine (1997).

Usage

npsigtest(bws, ...)

## S3 method for class 'formula'
npsigtest(bws, data = NULL, ...)

## S3 method for class 'call'
npsigtest(bws, ...)

## S3 method for class 'npregression'
npsigtest(bws, ...)

## Default S3 method:
npsigtest(bws, xdat, ydat, ...)

## S3 method for class 'rbandwidth'
npsigtest(bws,
          xdat = stop("data xdat missing"),
          ydat = stop("data ydat missing"),
          boot.num = 399,
          boot.method = c("iid","wild","wild-rademacher","pairwise"),
          boot.type = c("I","II"),
          pivot=TRUE,
          joint=FALSE,
          index = seq(1,ncol(xdat)),
          random.seed = 42,
          ...)

Arguments

bws

a bandwidth specification. This can be set as a rbandwidth object returned from a previous invocation, or as a vector of bandwidths, with each element i corresponding to the bandwidth for column i in xdat. In either case, the bandwidth supplied will serve as a starting point in the numerical search for optimal bandwidths when using boot.type="II". If specified as a vector, then additional arguments will need to be supplied as necessary to specify the bandwidth type, kernel types, selection methods, and so on.

data

an optional data frame, list or environment (or object coercible to a data frame by as.data.frame) containing the variables in the model. If not found in data, the variables are taken from environment(bws), typically the environment from which npregbw was called.

xdat

a p-variate data frame of explanatory data (training data) used to calculate the regression estimators.

ydat

a one (1) dimensional numeric or integer vector of dependent data, each element i corresponding to each observation (row) i of xdat.

boot.method

a character string used to specify the bootstrap method for determining the null distribution. pairwise resamples pairwise, while the remaining methods use a residual bootstrap procedure. iid will generate independent identically distributed draws. wild will use a wild bootstrap. wild-rademacher will use a wild bootstrap with Rademacher variables. Defaults to iid.

boot.num

an integer value specifying the number of bootstrap replications to use. Defaults to 399.

boot.type

a character string specifying whether to use a ‘Bootstrap I’ or ‘Bootstrap II’ method (see Racine, Hart, and Li (2006) for details). The ‘Bootstrap II’ method re-runs cross-validation for each bootstrap replication and uses the new cross-validated bandwidth for variable i and the original ones for the remaining variables. Defaults to boot.type="I".

pivot

a logical value which specifies whether to bootstrap a pivotal statistic or not (pivoting is achieved by dividing gradient estimates by their asymptotic standard errors). Defaults to TRUE.

joint

a logical value which specifies whether to conduct a joint test or individual test. This is to be used in conjunction with index where index contains two or more integers corresponding to the variables being tested, where the integers correspond to the variables in the order in which they appear among the set of explanatory variables in the function call to npreg/npregbw. Defaults to FALSE.

index

a vector of indices for the columns of xdat for which the test of significance is to be conducted. Defaults to (1,2,...,p) where p is the number of columns in xdat.

random.seed

an integer used to seed R's random number generator. This is to ensure replicability. Defaults to 42.

...

additional arguments supplied to specify the bandwidth type, kernel types, selection methods, and so on, detailed below.

Details

npsigtest implements a variety of methods for computing the null distribution of the test statistic and allows the user to investigate the impact of a variety of default settings including whether or not to pivot the statistic (pivot), whether pairwise or residual resampling is to be used (boot.method), and whether or not to recompute the bandwidths for the variables being tested (boot.type), among others.

Defaults are chosen so as to provide reasonable behaviour in a broad range of settings and this involves a trade-off between computational expense and finite-sample performance. However, the default boot.type="I", though computationally expedient, can deliver a test that can be slightly over-sized in small sample settings (e.g. at the 5% level the test might reject 8% of the time for samples of size n=100 for some data generating processes). If the default setting (boot.type="I") delivers a P-value that is in the neighborhood (i.e. slightly smaller) of any classical level (e.g. 0.05) and you only have a modest amount of data, it might be prudent to re-run the test using the more computationally intensive boot.type="II" setting to confirm the original result. Note also that boot.method="pairwise" is not recommended for the multivariate local linear estimator due to substantial size distortions that may arise in certain cases.

Value

npsigtest returns an object of type sigtest. summary supports sigtest objects. It has the following components:

In

the vector of statistics In

P

the vector of P-values for each statistic in In

In.bootstrap

contains a matrix of the bootstrap replications of the vector In, each column corresponding to replications associated with explanatory variables in xdat indexed by index (e.g., if you selected index = c(1,4) then In.bootstrap will have two columns, the first being the bootstrap replications of In associated with variable 1, the second with variable 4).

Usage Issues

If you are using data of mixed types, then it is advisable to use the data.frame function to construct your input data and not cbind, since cbind will typically not work as intended on mixed data types and will coerce the data to the same type.

Caution: bootstrap methods are, by their nature, computationally intensive. This can be frustrating for users possessing large datasets. For exploratory purposes, you may wish to override the default number of bootstrap replications, say, setting them to boot.num=99. A version of this package using the Rmpi wrapper is under development that allows one to deploy this software in a clustered computing environment to facilitate computation involving large datasets.

Author(s)

Tristen Hayfield tristen.hayfield@gmail.com, Jeffrey S. Racine racinej@mcmaster.ca

References

Aitchison, J. and C.G.G. Aitken (1976), “Multivariate binary discrimination by the kernel method,” Biometrika, 63, 413-420.

Li, Q. and J.S. Racine (2007), Nonparametric Econometrics: Theory and Practice, Princeton University Press.

Racine, J.S., J. Hart, and Q. Li (2006), “Testing the significance of categorical predictor variables in nonparametric regression models,” Econometric Reviews, 25, 523-544.

Racine, J.S. (1997), “Consistent significance testing for nonparametric regression,” Journal of Business and Economic Statistics 15, 369-379.

Wang, M.C. and J. van Ryzin (1981), “A class of smooth estimators for discrete distributions,” Biometrika, 68, 301-309.

Examples

## Not run: 
# EXAMPLE 1 (INTERFACE=FORMULA): For this example, we simulate 100 draws
# from a DGP in which z, the first column of X, is an irrelevant
# discrete variable

set.seed(12345)

n <- 100

z <- rbinom(n,1,.5)
x1 <- rnorm(n)
x2 <- runif(n,-2,2)

y <- x1 + x2 + rnorm(n)

# Next, we must compute bandwidths for our regression model. In this
# case we conduct local linear regression. Note - this may take a few
# minutes depending on the speed of your computer...

bw <- npregbw(formula=y~factor(z)+x1+x2,regtype="ll",bwmethod="cv.aic")

# We then compute a vector of tests corresponding to the columns of
# X. Note - this may take a few minutes depending on the speed of your
# computer... we have to generate the null distribution of the statistic
# for each variable whose significance is being tested using 399
# bootstrap replications for each...

npsigtest(bws=bw)

# If you wished, you could conduct the test for, say, variables 1 and 3
# only, as in

npsigtest(bws=bw,index=c(1,3))

# EXAMPLE 1 (INTERFACE=DATA FRAME): For this example, we simulate 100
# draws from a DGP in which z, the first column of X, is an irrelevant
# discrete variable

set.seed(12345)

n <- 100

z <- rbinom(n,1,.5)
x1 <- rnorm(n)
x2 <- runif(n,-2,2)

X <- data.frame(factor(z),x1,x2)

y <- x1 + x2 + rnorm(n)

# Next, we must compute bandwidths for our regression model. In this
# case we conduct local linear regression. Note - this may take a few
# minutes depending on the speed of your computer...

bw <- npregbw(xdat=X,ydat=y,regtype="ll",bwmethod="cv.aic")

# We then compute a vector of tests corresponding to the columns of
# X. Note - this may take a few minutes depending on the speed of your
# computer... we have to generate the null distribution of the statistic
# for each variable whose significance is being tested using 399
# bootstrap replications for each...

npsigtest(bws=bw)

# If you wished, you could conduct the test for, say, variables 1 and 3
# only, as in

npsigtest(bws=bw,index=c(1,3))

## End(Not run) 

np documentation built on Oct. 19, 2022, 1:08 a.m.