Semiparametric Specification Testing
AbstractWe propose a specification test of a parametrically specified model against a weakly specified alternative. The latter is estimated using K nonparametric nearest neighbors (K-NN) in the context of an artificial regression. We derived the asymptotic distribution under the null hypothesis and under a series of local alternatives. Monte Carlo simulations suggest that the test is quite powerful although it has a tendency to over-reject under the null hypothesis.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 778.
Date of creation: Mar 1990
Date of revision:
K-nearest neighbor regression; artificial nesting; nonested hypothesis;
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