SEMIPARAMETRIC SPECIFICATION TESTING OF NONNESTED ECONOMETRIC-MODELS

Authors
DELGADO MA STENGOS T
Citation
Ma. Delgado et T. Stengos, SEMIPARAMETRIC SPECIFICATION TESTING OF NONNESTED ECONOMETRIC-MODELS, Review of Economic Studies, 61(2), 1994, pp. 291-303
Citations number
22
Categorie Soggetti
Economics
Journal title
Review of Economic Studies → ACNP
ISSN journal
00346527
Volume
61
Issue
2
Year of publication
1994
Pages
291 - 303
Database
ISI
SICI code
0034-6527(1994)61:2<291:SSTONE>2.0.ZU;2-6
Abstract
We propose a specification test of a parametrically specified nonlinea r model against a weakly specified non-nested alternative. We estimate the alternative model by using nonparametric regression (nearest neig hbours). The test is based on the t-statistic of an artificial regress ion. Monte-Carlo simulations suggest that the test has good power and size characteristics.