This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/[square root of n] local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.
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Article provided by Econometric Society in its journal Econometrica.
Volume (Year): 65 (1997) Issue (Month): 5 (September) Pages: 1097-1128 Download reference. The following formats are available: HTML
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