Consistent Model Specification test for Regression Function Based on Nonparametric Wavelet Estimation.

In this poper we present a consistent spacification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation ant it is shown to have similar rates of convergence to the more commonly used kernel based tests.

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Year of publication:	1997
Authors:	Stengos, T. ; Sun, Y.
Subject:	REGRESSION ANALYSIS \| ECONOMIC MODELS \| EVALUATION

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Type of publication:	Book / Working Paper
Notes:	18 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671219