A Consistent Model Specification Test with Mixed Discrete and Continuous Data
In this paper we propose a nonparametric kernel-based model specification test that can be used when the regression model contains both discrete and continuous regressors. We employ discrete variable kernel functions and we smooth both the discrete and continuous regressors using least squares cross-validation methods. The test statistic is shown to have an asymptotic normal null distribution. We also prove the validity of using the wild bootstrap method to approximate the null distribution of the test statistic, the bootstrap being our preferred method for obtaining the null distribution in practice. Simulations show that the proposed test has significant power advantages over conventional kernel tests which rely upon frequency-based nonparametric estimators that require sample splitting to handle the presence of discrete regressors.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Apr 2006|
|Date of revision:|
|Contact details of provider:|| Phone: (213) 740-3521|
Fax: (213) 740-3522
Web page: http://www.usc.edu/dept/LAS/economics/IEPR/
More information through EDIRC
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.:
- Lanot, G. & Walker, I., 1993.
"The Union/Non-Union Wage Differential: an Application of Semi-Parametric Methods,"
9337, Laval - Recherche en Politique Economique.
- Lanot, Gauthier & Walker, Ian, 1998. "The union/non-union wage differential: An application of semi-parametric methods," Journal of Econometrics, Elsevier, vol. 84(2), pages 327-349, June.
- Gauthier Lanot & Ian Walker, 1996. "The Union/Non-Union Wage Differential: An Application of Semi-Parametric Methods," Keele Department of Economics Discussion Papers (1995-2001) 96/9, Department of Economics, Keele University.
- Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
- Peter Hall & Qi Li & Jeffrey S. Racine, 2007. "Nonparametric Estimation of Regression Functions in the Presence of Irrelevant Regressors," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 784-789, November.
- Robinson, P M, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 511-34, October.
- Donald W. K. Andrews, 1997.
"A Conditional Kolmogorov Test,"
Econometric Society, vol. 65(5), pages 1097-1128, September.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Bierens, H.J. & Ploberger, W., 1995.
"Asymptotic theory of integrated conditional moment tests,"
1995-124, Tilburg University, Center for Economic Research.
- Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
- Fan, Yanqin & Li, Qi, 2000. "Consistent Model Specification Tests," Econometric Theory, Cambridge University Press, vol. 16(06), pages 1016-1041, December.
- Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, 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.
- 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.
- Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
- Corbae,Dean & Durlauf,Steven N. & Hansen,Bruce E. (ed.), 2006. "Econometric Theory and Practice," Cambridge Books, Cambridge University Press, number 9780521807234, October.
- Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 437-53, May.
- Grund, B. & Hall, P., 1993. "On the Performance of Kernel Estimators for High-Dimensional, Sparse Binary Data," Journal of Multivariate Analysis, Elsevier, vol. 44(2), pages 321-344, February.
- Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
- Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December.
- 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.
- Murphy, Kevin M & Welch, Finis, 1990. "Empirical Age-Earnings Profiles," Journal of Labor Economics, University of Chicago Press, vol. 8(2), pages 202-29, April.
- Horowitz, Joel L & Spokoiny, Vladimir G, 2001. "An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative," Econometrica, Econometric Society, vol. 69(3), pages 599-631, May.
- de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
- Peter Hall & Jeff Racine & Qi Li, 2004. "Cross-Validation and the Estimation of Conditional Probability Densities," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1015-1026, December.
- Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
- Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
When requesting a correction, please mention this item's handle: RePEc:scp:wpaper:06-47. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.