Horowitz, Joel L. () (University of Iowa) Spokoiny, Vladimir G. (Weierstrass Institute for Applied Stochastics)
Abstract
We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the fastest possible rate. This rate is slower than n-1/2. Some existing tests have non-trivial power against restricted classes of alternatives whose distance from the parametric model decreases at the rate n-1/2. There are, however, sequences of alternatives against which these tests are inconsistent and ours is consistent. As a consequence, there are alternative models for which the finite-sample power of our test greatly exceeds that of existing tests. This conclusion is illustrated by the results of some Monte Carlo experiments.
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Publisher Info
Paper provided by University of Iowa, Department of Economics in its series Working Papers with number
99-02.
Length: 38 pages Date of creation: Jan 1999 Date of revision: Handle: RePEc:uia:iowaec:99-02
Contact details of provider: Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242 Phone: (319) 335-0829 Fax: (319) 335-1956 Web page: http://tippie.uiowa.edu/economics/ More information through EDIRC
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Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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