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Semiparametric Specification Testing of Non-nested Econometric Models

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  • Miguel A. Delgado
  • Thanasis Stengos

Abstract

We propose a specification test of a parametrically specified nonlinear model against a weakly specified non-nested alternative. We estimate the alternative model by using nonparametric regression (nearest neighbours). The test is based on the t-statistic of an artificial regression. Monte-Carlo simulations suggest that the test has good power and size characteristics.

Suggested Citation

  • Miguel A. Delgado & Thanasis Stengos, 1994. "Semiparametric Specification Testing of Non-nested Econometric Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 291-303.
  • Handle: RePEc:oup:restud:v:61:y:1994:i:2:p:291-303.
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    File URL: http://hdl.handle.net/10.2307/2297982
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    1. repec:rri:wpaper:201303 is not listed on IDEAS
    2. Kelejian, Harry H. & Piras, Gianfranco, 2011. "An extension of Kelejian's J-test for non-nested spatial models," Regional Science and Urban Economics, Elsevier, vol. 41(3), pages 281-292, May.
    3. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
    4. Jean‐Pierre Florens & Jan Johannes & Sébastien Van Bellegem, 2012. "Instrumental regression in partially linear models," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 304-324, June.
    5. Davidson, R. & MacKinnon & J.G., 1999. "Artificial Regressions," G.R.E.Q.A.M. 99a04, Universite Aix-Marseille III.
    6. Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, Open Access Journal, vol. 3(3), pages 1-31, September.
    7. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    8. Miguel A. Delgado & Juan Mora, 1995. "On asymptotic inferences in non-parametric and semiparametric models with discrete and mixed regressors," Investigaciones Economicas, Fundación SEPI, vol. 19(3), pages 435-467, September.
    9. Mora, Juan, 1994. "Semiparametric testing of non-nested models: an application to Engel Curves specification," DES - Working Papers. Statistics and Econometrics. WS 3953, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
    11. Yanqin Fan & Qi Li, 2002. "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 337-352.
    12. Stengos, Thanasis & Li, Qi & Delgado, Miguel A., 1994. "Non-parametric specification testing of non-nested econometric models," DES - Working Papers. Statistics and Econometrics. WS 3961, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Harry H. Kelejian & Gianfranco Piras, 2013. "A J-Test for Panel Models with Fixed Effects, Spatial and Time," Working Papers Working Paper 2013-03, Regional Research Institute, West Virginia University.
    14. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(4), pages 769-803, August.
    15. Bernard Fingleton & Silvia Palombi, 2016. "Bootstrap J -Test for Panel Data Models with Spatially Dependent Error Components, a Spatial Lag and Additional Endogenous Variables," Spatial Economic Analysis, Taylor & Francis Journals, vol. 11(1), pages 7-26, March.
    16. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
    17. Harry H. Kelejian & Gianfranco Piras, 2016. "A J test for dynamic panel model with fixed effects, and nonparametric spatial and time dependence," Empirical Economics, Springer, vol. 51(4), pages 1581-1605, December.
    18. Maria-Isabel Ayuda & Antonio Aznar, 2000. "Power in non-nested models: a comparative study," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 483-486.
    19. Li, Qi & Stengos, Thanasis, 1995. "A semi-parametric non-nested test in a dynamic panel data model," Economics Letters, Elsevier, vol. 49(1), pages 1-6, July.
    20. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.

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