Goodness-of-fit tests based on series estimators in nonparametric instrumental regression

Christoph Breunig

This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the vector of regressors. The tests are asymptotically normally distributed under correct specification and consistent against any alternative model. Under a sequence of local alternative hypotheses, the asymptotic distribution of the tests is derived. Moreover, uniform consistency is established over a class of alternatives whose distance to the null hypothesis shrinks appropriately as the sample size increases.

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Year of publication:	May 10, 2012
Authors:	Breunig, Christoph
Publisher:	Mannheim : Universität Mannheim, Department of Economics
Subject:	Nonparametric regression \| instrument \| linear operator \| orthogonal series estimation \| hypothesis testing \| local alternative \| uniform consistency \| Statistische Methodenlehre \| Statistical theory \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Statistischer Test \| Statistical test \| Regressionsanalyse \| Regression analysis