A Conditional Kolmogorov Test

This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/{root n}-local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.

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Year of publication:	1996-04
Authors:	Andrews, Donald W.K.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Bootstrap \| consistent test \| parametric model \| specification test

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 949. Published in Econometrica (September 1997), 65(5): 1097-1128 The price is None Number 1111R 44 pages
Classification:	C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005634736