A CONDITIONAL KOLMOGOROV TEST

Authors
ANDREWS DWK
Citation
Dwk. Andrews, A CONDITIONAL KOLMOGOROV TEST, Econometrica, 65(5), 1997, pp. 1097-1128
Citations number
21
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods","Mathematical, Methods, Social Sciences","Statistic & Probability","Mathematics, Miscellaneous
Journal title
Econometrica → ACNP
ISSN journal
00129682
Volume
65
Issue
5
Year of publication
1997
Pages
1097 - 1128
Database
ISI
SICI code
0012-9682(1997)65:5<1097:ACKT>2.0.ZU;2-4
Abstract
This paper introduces a conditional Kolmogorov test of model specifica tion for parametric models with covariates (regressors). The test is a n extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/root n local alt ernatives and all fixed alternatives to the null hypothesis. A paramet ric bootstrap procedure is used to obtain critical values for the test .