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Semiparametric Specification Testing of Non-nested Econometric Models

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  • Delgado, Miguel A
  • Stengos, Thanasis

Abstract

The 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 Info

Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 61 (1994)
Issue (Month): 2 (April)
Pages: 291-303

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Handle: RePEc:bla:restud:v:61:y:1994:i:2:p:291-303

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527

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Cited by:
  1. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
  2. Russell Davidson & James G. MacKinnon, 1999. "Artificial Regressions," Working Papers 978, Queen's University, Department of Economics.
  3. Ellison, G. & Ellison, F., 1993. "A Simple Framework for Non-Parametric Specification Testing," Harvard Institute of Economic Research Working Papers 1662, Harvard - Institute of Economic Research.
  4. Miguel A. Delgado & Juan Mora, 1995. "On asymptotic inferences in non-parametric and semiparametric models with discrete and mixed regressors," Investigaciones Economicas, Fundación SEPI, vol. 19(3), pages 435-467, September.
  5. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(04), pages 769-803, August.
  6. Li, Qi & Stengos, Thanasis, 1995. "A semi-parametric non-nested test in a dynamic panel data model," Economics Letters, Elsevier, vol. 49(1), pages 1-6, July.
  7. Yanqin Fan & Qi Li, 2002. "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 337-352.
  8. Harry H. Kelejian & Gianfranco Piras, 2013. "A J-Test for Panel Models with Fixed Effects, Spatial and Time," Working Papers 201303, Regional Research Institute, West Virginia University.
  9. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.

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