GOODNESS-OF-FIT TESTS BASED ON KERNEL DENSITY ESTIMATORS WITH FIXED SMOOTHING PARAMETERS

Yanqin Fan

Econometric Theory, 1998, vol. 14, issue 05, pages 604-621

Abstract: In this paper, we study the bias-corrected test developed in Fan (1994). It is based on the integrated squared difference between a kernel estimator of the unknown density function of a random vector and a kernel smoothed estimator of the parametric density function to be tested under the null hypothesis. We provide an alternative asymptotic approximation of the finite-sample distribution of this test by fixing the smoothing parameter. In contrast to the normal approximation obtained in Fan (1994) in which the smoothing parameter shrinks to zero as the sample size grows to infinity, we obtain a non-normal asymptotic distribution for the bias-corrected test. A parametric bootstrap procedure is proposed to approximate the critical values of this test. We show both analytically and by simulation that the proposed bootstrap procedure works. Consistency and local power properties of the bias-corrected test with a fixed smoothing parameter are also discussed.

Date: 1998
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466698145036 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:05:p:604-621_14

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().