Nonparametric model check based on local polynomial fitting
In this paper we propose a consistent model specification test based on local polynomial fitting. The Monte Carlo simulations show that the new test performs favorably with the existing local constant kernel tests.
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Volume (Year): 48 (2000)
Issue (Month): 4 (July)
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- John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
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- Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
- Wooldridge, Jeffrey M., 1992. "A Test for Functional Form Against Nonparametric Alternatives," Econometric Theory, Cambridge University Press, vol. 8(04), pages 452-475, December.
- Bierens, H.J. & Ploberger, W., 1995.
"Asymptotic theory of integrated conditional moment tests,"
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- Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
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