Some Higher Order Theory for a Consistent Nonparametric Model Specification Test

We provide second order theory for a smoothing-based model specification test. We derive the asymptotic cumulants and justify an Edgeworth distributional approximation valid to order close to n^{-1}. This is used to define size-corrected critical values whose null rejection frequency improves on the normal critical values. Our simulations confirm the efficacy of this method in moderate sized samples.

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Year of publication:	1997-02
Authors:	Fan, Yanqin ; Linton, Oliver
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Consistent test \| Edgeworth expansion \| kernel estimation \| nonlinear regression

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Journal of Statistical Planning and Inference (2003), 109(1-2): 125-154 The price is None Number 1148 39 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762704