A simple framework for nonparametric specification testing

This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test statistics are asymptotically normal under the null. With an appropriate choic...

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Bibliographic Details
Published in:Journal of econometrics 2000-05, Vol.96 (1), p.1-23
Main Authors: Ellison, Glenn, Ellison, Sara Fisher
Format: Article
Language:English
Subjects:
Applications
Consistent testing
Econometrics
Economic models
Economic theory
Exact sciences and technology
Insurance, economics, finance
Linear inference, regression
Mathematical economics
Mathematics
Monte Carlo simulation
Nonparametric
Nonparametric inference
Probability and statistics
Quadratic form
Regression analysis
Sciences and techniques of general use
Simulation
Specification testing
Statistical analysis
Statistics
Studies
Testing
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Description
Summary:This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test statistics are asymptotically normal under the null. With an appropriate choice of the weight matrix, the tests are shown to be consistent and to have good local power. Specific implementations involving matrices of bin and kernel weights are discussed. Finite sample properties are explored in simulations.
ISSN:0304-4076
1872-6895
DOI:10.1016/S0304-4076(99)00048-2