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Consistent Model Specification test for Regression Function Based on Nonparametric Wavelet Estimation

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Author Info
Stengos, T.
Sun, Y.

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Abstract

In this poper we present a consistent spacification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation ant it is shown to have similar rates of convergence to the more commonly used kernel based tests.

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Publisher Info
Paper provided by University of Guelph, Department of Economics in its series Working Papers with number 1997-3.

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Length: 18 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:gue:guelph:1997-3

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Related research
Keywords: REGRESSION ANALYSIS ; ECONOMIC MODELS ; EVALUATION;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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  1. Sun, Y., 2003. "A Consistent Nonparametric Equality Test of Conditional Quantile Functions," Working Papers 2003-10, University of Guelph, Department of Economics. [Downloadable!]
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