Semiparametric Specification Testing

Miguel Delgado () and Thanasis Stengos

No 778, Working Paper from Economics Department, Queen's University

Abstract: 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.

Keywords: K-nearest neighbor regression; artificial nesting; nonested hypothesis (search for similar items in EconPapers)
Date: 1990-03
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Citations: View citations in EconPapers (6)

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