A Simple Framework for Nonparametric Specification Testing

Glenn Ellison () and Sara Fisher Ellison

No 234, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test statistics are asymptotically normal under the null. With an appropriate choice of the weight matrix, the tests are shown to be consistent and to have good local power. Specific implementations involving matrices of bin and kernel weights are discussed. Finite sample properties are explored in simulations and an application to some parametric models of gasoline demand is presented.

JEL-codes: C14 C12 (search for similar items in EconPapers)
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Date: 1998-09
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Related works:
Working Paper: A Simple Framework for Non-Parametric Specification Testing (1993)
Journal Article: A simple framework for nonparametric specification testing (2000)
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