Semiparametric Specification Testing of Nonlinear Models

Miguel Delgado () and Thanasis Stengos

No 783, Working Paper from Economics Department, Queen's University

Abstract: We propose a specification test of a parametrically specified nonlinear model against a weakly specified alternative. We generalize a similar test procedure proposed by Delgado and Stengos (1990) to test the specification of a linear model. We estimate the alternative model by using K nonparametric nearest neighbors (K-NN) in the context of an artificial regression. We derive the asymptotic distribution of the test statistic under the null hypothesis and under a series of local alternatives. Monte Carlo simulations suggest that the test has good power and size characteristics.

Date: 1990-08
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