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A Conditional Kolmogorov Test

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Abstract

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/{root 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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File URL: http://cowles.econ.yale.edu/P/cd/d11a/d1111-r.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1111R.

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Length: 44 pages
Date of creation: Apr 1996
Date of revision:
Publication status: Published in Econometrica (September 1997), 65(5): 1097-1128
Handle: RePEc:cwl:cwldpp:1111r

Note: CFP 949.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Bootstrap; consistent test; parametric model; specification test;

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  1. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
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