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Identification-Robust Testing in Endogenous Functional Li...
Won-Ki Seo · 2026-05-28 · via math updates on arXiv.org

We develop dimension-reduction-free tests for the slope function in functional linear regression when the functional regressor may be endogenous or measured with error. The tests are based on a functional moment condition induced by an auxiliary functional variable and do not require estimation of the slope function. This feature is particularly useful in infinite-dimensional settings, where the identification and regularization conditions needed for consistent estimation are often strong and difficult to verify. The proposed procedures remain asymptotically valid under weak or even failed relevance of the auxiliary variable, and they are consistent against fixed alternatives that are detectable through the moment operator. We establish the asymptotic null distribution, consistency against detectable alternatives, and local power under drifting alternatives. We also derive the locally optimal test within a class of weighted test statistics. Feasible critical values for implementation of the tests are obtained from data. Simulations show reliable size control and competitive power, including under weak relevance. We illustrate the method using a functional regression analysis of residential electricity demand and temperature distributions in South Korea.