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Testing a Parametric Model Against a Semiparametric Alternative

Author

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  • Horowitz, J.

    (Tilburg University, Center For Economic Research)

  • Härdle, W.K.

    (Tilburg University, Center For Economic Research)

Abstract

This paper describes a method for testing a parametric model of the mean of a random variable Y conditional on a vector of explanatory variables X against a semiparametric alternative. The test is motivated by a conditional moment test against a parametric alternative and amounts to replacing the parametric alternative model with a semiparametric model. The resulting semiparametric test is consistent against a larger set of alternatives than are parametric conditional moments tests based on finitely many moment conditions. The results of Monte Carlo experiments and an application illustrate the usefulness of the new test.
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Suggested Citation

  • Horowitz, J. & Härdle, W.K., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Discussion Paper 1992-19, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:5771ec05-5c35-4fc2-8058-97c116b19b3f
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    Cited by:

    1. Darren Grant, 2010. "The Simple Economics of Thresholds: Evidence from the Western States 100," Working Papers 1004, Sam Houston State University, Department of Economics and International Business.

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