Semiparametric Testing in Non-nested Econometric Models
AbstractWe propose a specification test of parametrically specified nonlinear model against a weakly specified non-nested alternative. We estiamte the alternative model by using nonparametric regression (nearest righbours). The test is based on the t-statistic of an artificial regression. Monte-Carlo simulations suggest that the test has good power and size characteristic.
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/2390.
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