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Some Higher Order Theory for a Consistent Nonparametric Model Specification Test Author info | Abstract | Publisher info | Download info | Related research | Statistics Yanqin Fan (University of Windsor)
Oliver Linton (Cowles Foundation, Yale University )
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We provide second order theory for a smoothing-based model specification test. We derive the asymptotic cumulants and justify an Edgeworth distributional approximation valid to order close to n^{-1}. This is used to define size-corrected critical values whose null rejection frequency improves on the normal critical values. Our simulations confirm the efficacy of this method in moderate sized samples.
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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number
1148.
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Length: 39 pages
Date of creation: Feb 1997Date of revision:
Handle: RePEc:cwl:cwldpp:1148Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA Phone: (203) 432-3702 Fax: (203) 432-6167 Web page: http://cowles.econ.yale.edu/ More information through EDIRC
Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
For technical questions regarding this item, or to correct its listing, contact: (Glena Ames).
Keywords: Consistent test ; Edgeworth expansion ; kernel estimation ; nonlinear regression ; References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
repec:cup:etheor:v:10:y:1994:i:2:p:316-56 is not listed on IDEAS
Hong, Yongmiao & White, Halbert, 1995.
"Consistent Specification Testing via Nonparametric Series Regression ,"
Econometrica ,
Econometric Society, vol. 63(5), pages 1133-59, September.
[Downloadable!] (restricted)
Other versions: Donald W. K. Andrews, 1997.
"A Conditional Kolmogorov Test ,"
Econometrica ,
Econometric Society, vol. 65(5), pages 1097-1128, September.
Other versions: Oliver Linton & Pedro Gozalo, 1996.
"Conditional Independence Restrictions: Testing and Estimation ,"
Cowles Foundation Discussion Papers
1140, Cowles Foundation, Yale University.
[Downloadable!]
Oliver Linton, 1994.
"Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models ,"
Cowles Foundation Discussion Papers
1086, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Bierens, Herman J, 1990.
"A Consistent Conditional Moment Test of Functional Form ,"
Econometrica ,
Econometric Society, vol. 58(6), pages 1443-58, November.
[Downloadable!] (restricted)
Other versions: repec:cup:etheor:v:12:y:1996:i:1:p:30-60 is not listed on IDEAS
Herman J. Bierens & Werner Ploberger, 1997.
"Asymptotic Theory of Integrated Conditional Moment Tests ,"
Econometrica ,
Econometric Society, vol. 65(5), pages 1129-1152, September.
Other versions: 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.
[Downloadable!]
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.
[Downloadable!] (restricted)
repec:cup:etheor:v:9:y:1993:i:3:p:451-77 is not listed on IDEAS
Linton, Oliver, 1995.
"Second Order Approximation in the Partially Linear Regression Model ,"
Econometrica ,
Econometric Society, vol. 63(5), pages 1079-1112, September.
[Downloadable!] (restricted)
Other versions: Fan, Yanqin, 1994.
"Testing the Goodness of Fit of a Parametric Density Function by Kernel Method ,"
Econometric Theory ,
Cambridge University Press, vol. 10(02), pages 316-356, June.
[Downloadable!]
Bierens, Herman J., 1982.
"Consistent model specification tests ,"
Journal of Econometrics ,
Elsevier, vol. 20(1), pages 105-134, October.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Gao, jiti & Casas, isabel, 2006.
"Specification testing in discretized diffusion models: Theory and practice ,"
MPRA Paper
11980, University Library of Munich, Germany, revised Aug 2007.
[Downloadable!]
Other versions: Fernandes, Marcelo & Grammig, Joachim, 2003.
"Nonparametric specification tests for conditional duration models ,"
Economics Working Papers (Ensaios Economicos da EPGE)
502, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Other versions:
Fernandes, M. & Grammig, J., 2000.
"Non-Parametric Specification Tests for Conditional Duration Models ,"
Economics Working Papers
eco2000/4, European University Institute.
Marcelo Fernandes & Joachim Grammig, 2000.
"Non-Parametric Specification Tests For Conditional Duration Models ,"
Computing in Economics and Finance 2000
40, Society for Computational Economics.
[Downloadable!] Fernandes, Marcelo & Grammig, Joachim, 2005.
"Nonparametric specification tests for conditional duration models ,"
Journal of Econometrics ,
Elsevier, vol. 127(1), pages 35-68, July.
[Downloadable!] (restricted) Fernandes, Marcelo, 2001.
"Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes ,"
Economics Working Papers (Ensaios Economicos da EPGE)
413, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Matos, Joao Amaro de & Fernandes, Marcelo, 2004.
"Testing the Markov property with ultra-high frequency financial data ,"
FEUNL Working Paper Series
wp462, Universidade Nova de Lisboa, Faculdade de Economia.
[Downloadable!]
Other versions: Gao, Jiti & Gijbels, Irene, 2005.
"Bandwidth selection for nonparametric kernel testing ,"
MPRA Paper
11982, University Library of Munich, Germany, revised Jun 2007.
[Downloadable!]
Oliver Linton, 2000.
"Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics ,"
STICERD - Econometrics Paper Series
/2000/399, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
[Downloadable!]
Other versions: Patrick Marsh, .
"Nonparametric Likelihood Ratio Tests ,"
Discussion Papers
00/56, Department of Economics, University of York.
[Downloadable!]
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