A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION

In this paper we present a consistent specification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation and it is shown to have similar rates of convergence to the more commonly used kernel based tests. Monte Carlo simulations show that this test statistic has adequate size and high power and that it compares favorably with its kernel based counterparts in small samples.

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Year of publication:	2001
Authors:	Stengos, Thanasis ; Sun, Yiguo
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 20.2001, 1, p. 41-60
Publisher:	Taylor & Francis Journals
Subject:	Wavelets \| Consistent specification test \| Nonparametric regression

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Extent:	text/html
Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005511937