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Semiparametric Specification Testing

Author

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  • Delgado, Miguel A.
  • Stengos, Thanasis

Abstract

We propose a specification test of a parametrically specified model against a weakly specified alternative. The latter is estimated using K nonparametric nearest neighbors (K-NN) in the context of an artificial regression. We derived the asymptotic distribution under the null hypothesis and under a series of local alternatives. Monte Carlo simulations suggest that the test is quite powerful although it has a tendency to over-reject under the null hypothesis.
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Suggested Citation

  • Delgado, Miguel A. & Stengos, Thanasis, 1990. "Semiparametric Specification Testing," Queen's Economics Department Working Papers 273180, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273180
    DOI: 10.22004/ag.econ.273180
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    Cited by:

    1. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
    2. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    3. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    4. James G. MacKinnon & Russell Davidson, 1999. "Artificial Regressions," Working Paper 978, Economics Department, Queen's University.
    5. 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.
    6. Atak, Alev & Linton, Oliver & Xiao, Zhijie, 2011. "A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom," Journal of Econometrics, Elsevier, vol. 164(1), pages 92-115, September.

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