One for All and All for One:Regression Checks With Many Regressors
We develop a novel approach to build checks of parametric regression models when many regressors are present, based on a class of rich enough semiparametric alternatives, namely single-index models. We propose an omnibus test based on the kernel method that performs against a sequence of directional nonparametric alternatives as if there was one regressor only, whatever the number of regressors. This test can be viewed as a smooth version of the integrated conditional moment (ICM) test of Bierens. Qualitative information can be easily incorporated in the procedure to enhance power. Our test is little sensitive to the smoothing parameter and performs better than several known lack-of-fit tests in multidimensional settings, as illustrated by extensive simulations and an application to a cross-country growth regression.
|Date of creation:||Nov 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada|
Web page: http://www.sfu.ca/economics.html
More information through EDIRC
|Order Information:|| Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada|
Web: http://www.sfu.ca/economics/research/publications.html Email:
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.:
- Pascal Lavergne & Valentin Patilea, 2006.
"Breaking the Curse of Dimensionality in Nonparametric Testing,"
2006-24, Centre de Recherche en Economie et Statistique.
- Lavergne, Pascal & Patilea, Valentin, 2008. "Breaking the curse of dimensionality in nonparametric testing," Journal of Econometrics, Elsevier, vol. 143(1), pages 103-122, March.
- repec:adr:anecst:y:2006:i:81:p:02 is not listed on IDEAS
- Emmanuel Guerre & Pascal Lavergne, 2004. "Data-Driven Rate-Optimal Specification Testing In Regression Models," Econometrics 0411008, EconWPA.
- 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.
- Hardle, W. & Mammen, E., 1990.
"Comparing nonparametric versus parametric regression fits,"
CORE Discussion Papers
1990065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Enno Mammen, . "Comparing nonparametric versus parametric regression fits," Statistic und Oekonometrie 9205, Humboldt Universitaet Berlin.
- Bierens, Herman J, 1990.
"A Consistent Conditional Moment Test of Functional Form,"
Econometric Society, vol. 58(6), pages 1443-58, November.
- 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.
- Escanciano, J. Carlos, 2006.
"Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models,"
Journal of the American Statistical Association,
American Statistical Association, vol. 101, pages 531-541, June.
- Juan Carlos Escanciano, 2005. "Goodness-of-fit Tests for Linear and Non-linear Time Series Models," Faculty Working Papers 02/05, School of Economics and Business Administration, University of Navarra.
- Lewbel, Arthur, 1995. "Consistent nonparametric hypothesis tests with an application to Slutsky symmetry," Journal of Econometrics, Elsevier, vol. 67(2), pages 379-401, June.
- Liu, Zhenjuan & Stengos, Thanasis, 1999. "Non-linearities in Cross-Country Growth Regressions: A Semiparametric Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 527-38, Sept.-Oct.
- N. Gregory Mankiw & David Romer & David N. Weil, 1990.
"A Contribution to the Empirics of Economic Growth,"
NBER Working Papers
3541, National Bureau of Economic Research, Inc.
- Juan Mora & Daniel Miles, 2002.
"On The Performance Of Nonparametric Specification Tests In Regression Models,"
Working Papers. Serie AD
2002-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Miles, Daniel & Mora, Juan, 2003. "On the performance of nonparametric specification tests in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 477-490, March.
- King, Robert G. & Levine, Ross, 1993.
"Finance and growth : Schumpeter might be right,"
Policy Research Working Paper Series
1083, The World Bank.
- Escanciano, J. Carlos, 2006.
"A Consistent Diagnostic Test For Regression Models Using Projections,"
Cambridge University Press, vol. 22(06), pages 1030-1051, December.
- Juan Carlos Escanciano, 2005. "A Consistent Diagnostic Test for Regression Models Using Projections," Faculty Working Papers 09/05, School of Economics and Business Administration, University of Navarra.
- 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.
- 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.
- Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June.
- Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
- Guerre, Emmanuel & Lavergne, Pascal, 2002. "Optimal Minimax Rates For Nonparametric Specification Testing In Regression Models," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1139-1171, October.
- Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
- Azzalini,A. & Bowman,A.W. & Haerdle,W., 1988. "On the use of nonparametric regression for model checking," Discussion Paper Serie A 195, University of Bonn, Germany.
- Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
- Gozalo, Pedro L., 1997. "Nonparametric bootstrap analysis with applications to demographic effects in demand functions," Journal of Econometrics, Elsevier, vol. 81(2), pages 357-393, December.
When requesting a correction, please mention this item's handle: RePEc:sfu:sfudps:dp08-06. 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: (Working Paper Coordinator)
If references are entirely missing, you can add them using this form.