A Conditional Kolmogorov Test
This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/[square root of n] local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.
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Volume (Year): 65 (1997)
Issue (Month): 5 (September)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bierens, H.J., 1989.
"A consistent conditional moment test of functional form,"
Serie Research Memoranda
0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
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