Semiparametric Specification Testing of Non-nested Econometric Models
AbstractThe authors propose a specification test of a parametrically specified nonlinear model against a weakly specified nonnested alternative. They estimate the alternative model by using nonparametric regression (nearest neighbors). The test is based on the tstatistic of an artificial regression. Monte Carlo simulations suggest that the test has good power and size characteristics. Copyright 1994 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 61 (1994)
Issue (Month): 2 (April)
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