Semiparametric Specification Testing

We propose a specification test of a parametrically specified model against a weakly specified alternative. The latter is estimated using K nonparametric nearest neighbors (K-NN) in the context of an artificial regression. We derived the asymptotic distribution under the null hypothesis and under a series of local alternatives. Monte Carlo simulations suggest that the test is quite powerful although it has a tendency to over-reject under the null hypothesis.

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Year of publication:	1990-03
Authors:	Delgado, Miguel A. ; Stengos, Thanasis
Institutions:	Economics Department, Queen's University
Subject:	K-nearest neighbor regression \| artificial nesting \| nonested hypothesis

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 778
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787788