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A simple framework for nonparametric specification testing

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  • Ellison, Glenn
  • Ellison, Sara Fisher

Abstract

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 and an application to some parametric models of gasoline demand is presented.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 96 (2000)
Issue (Month): 1 (May)
Pages: 1-23

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Handle: RePEc:eee:econom:v:96:y:2000:i:1:p:1-23

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

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References

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  1. Hausman, Jerry A & Newey, Whitney K, 1995. "Nonparametric Estimation of Exact Consumers Surplus and Deadweight Loss," Econometrica, Econometric Society, vol. 63(6), pages 1445-76, November.
  2. Horowitz, Joel L. & Härdle, Wolfgang, 1994. "Testing a Parametric Model Against a Semiparametric Alternative," Econometric Theory, Cambridge University Press, vol. 10(05), pages 821-848, December.
  3. 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.
  4. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  5. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  6. Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  7. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
  8. Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
  9. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  10. Bierens, H.J. & Ploberger, W., 1995. "Asymptotic theory of integrated conditional moment tests," Discussion Paper 1995-124, Tilburg University, Center for Economic Research.
  11. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
  12. Mikosch, T., 1991. "Functional limit theorems for random quadratic forms," Stochastic Processes and their Applications, Elsevier, vol. 37(1), pages 81-98, February.
  13. 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.
  14. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  15. Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
  16. Alan Duncan & Andrew Jones, 1994. "On the specification of labour supply models: a non-parametric evaluation," IFS Working Papers W94/03, Institute for Fiscal Studies.
  17. Wooldridge, Jeffrey M., 1992. "A Test for Functional Form Against Nonparametric Alternatives," Econometric Theory, Cambridge University Press, vol. 8(04), pages 452-475, December.
  18. repec:cup:etheor:v:9:y:1993:i:3:p:451-77 is not listed on IDEAS
  19. Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December.
  20. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
  21. Thomas M. Stoker & Diego Rodríguez, 1993. "A regression test of semiparametric index model specification," Economics Working Papers 48, Department of Economics and Business, Universitat Pompeu Fabra.
  22. Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
  23. repec:cup:etheor:v:8:y:1992:i:4:p:452-75 is not listed on IDEAS
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