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On the performance of nonparametric specification tests in regression models

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  • Miles, Daniel
  • Mora, Juan

Abstract

Some recently developed nonparametric specification tests for regression models are described in a unified way. The common characteristic of these tests is that they are consistent against any alternative hypothesis. The performance of the test statistics is compared by means of Monte Carlo simulations, analysing how heteroskedasticity, number of regressors and bandwidth selection influence the results. The statistics which do not use a bandwidth perform slightly better if the regression model has only one regressor; otherwise, some of the statistics which use a bandwidth behave better if the bandwidth is chosen adequately. These statistics are applied to test the specification of three commonly used Mincer-type wage equations with Uruguayan and Spanish data; all of them are rejected.

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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 42 (2003)
Issue (Month): 3 (March)
Pages: 477-490

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Handle: RePEc:eee:csdana:v:42:y:2003:i:3:p:477-490

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Glenn Ellison & Sara Fisher Ellison, 1998. "A Simple Framework for Nonparametric Specification Testing," NBER Technical Working Papers 0234, National Bureau of Economic Research, Inc.
  2. Charles F. Manski, 2000. "Economic Analysis of Social Interactions," Journal of Economic Perspectives, American Economic Association, vol. 14(3), pages 115-136, Summer.
  3. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
  4. Nidardo, J. & Fortin, N. & Lemieux, T., 1994. "Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach," Papers 93-94-15, California Irvine - School of Social Sciences.
  5. Horowitz, J.L., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Papers 9219, Tilburg - Center for Economic Research.
  6. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  7. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 451-477, June.
  8. Marisa Bucheli & Andrea Vigorito & Daniel Miles, 2000. "Un análisis dinámico en la toma de decisión de hogares: El caso de Uruguay," Research Department Publications 3114, Inter-American Development Bank, Research Department.
  9. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  10. Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
  11. Murphy, Kevin M & Welch, Finis, 1992. "The Structure of Wages," The Quarterly Journal of Economics, MIT Press, vol. 107(1), pages 285-326, February.
  12. Fan, Yanqin & Li, Qi, 2000. "Consistent Model Specification Tests," Econometric Theory, Cambridge University Press, vol. 16(06), pages 1016-1041, December.
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Citations

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Cited by:
  1. Andrea Vaona & Guido Ascari, 2010. "Regional Inflation Persistence: Evidence from Italy," Working Papers 04/2010, University of Verona, Department of Economics.
  2. Lawrence Dacuycuy, 2006. "Explaining male wage inequality in the Philippines: non-parametric and semiparametric approaches," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2497-2511.
  3. Andrea Vaona, 2011. "Intra-national Purchasing Power Parity and Balassa--Samuelson Effects in Italy," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(3), pages 291-309, April.
  4. Juan Carlos Escanciano, 2005. "A Consistent Diagnostic Test for Regression Models Using Projections," Faculty Working Papers 09/05, School of Economics and Business Administration, University of Navarra.
  5. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "Rejoinder on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 442-447, September.
  6. repec:ebl:ecbull:v:3:y:2005:i:21:p:1-6 is not listed on IDEAS
  7. Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
  8. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 361-411, September.
  9. Lawrence Dacuycuy, 2005. "A note on the comparative performance of the Zheng and Elisson-Elisson tests for omitted variables in regression models," Economics Bulletin, AccessEcon, vol. 3(21), pages 1-6.
  10. Pascal Lavergne & Valentin Patilea, 2007. "One for All and All for One : Regression Checks with Many Regressors”," Working Papers 2007-12, Centre de Recherche en Economie et Statistique.
  11. Lawrence Dacuycuy, 2006. "On the finite sampling properties of the Zheng test for omitted and irrelevant variable problems," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 681-684.
  12. Ruxandra Savonea & Mihaela Ştefănescu, 2009. "Econometric Modelling For Simulating The Economic Impact Of Structural Reforms In Romania: A Pilot Project," Romanian Economic Business Review, Romanian-American University, vol. 4(4), pages 103-110, Winter.
  13. Jacobo Uña-Álvarez, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 414-418, September.
  14. Manuel Vega-Gordillo & José Luis Álvarez-Arce, 2005. "Heterogeneity In Economic Freedom: Free Clusters Or Free Countries," Faculty Working Papers 08/05, School of Economics and Business Administration, University of Navarra.
  15. Lawrence Dacuycuy, 2006. "The effects of bandwidth changes on model validity: an empirical study," Applied Economics Letters, Taylor & Francis Journals, vol. 13(10), pages 629-633.
  16. Lawrence Dacuycuy, 2005. "On distribution approximation: a simple comparative study on procedural variations of the Zheng test," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-10.
  17. repec:ebl:ecbull:v:3:y:2005:i:11:p:1-10 is not listed on IDEAS
  18. Andrea Vaona, 2010. "Spatial autocorrelation and the sensitivity of RESET: a simulation study," Journal of Geographical Systems, Springer, vol. 12(1), pages 89-103, March.

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