Consistent Speciffcation Tests for Regression Models

Chunrong Ai
Additional contact information
Chunrong Ai: Department of Economics, University of Florida

Annals of Economics and Finance, 2001, vol. 2, issue 1, 31-58

Abstract: This paper presents three procedures for testing specifications of regression models. The first procedure is parametric and it tests the specification of an unconditional moment restriction model against a nonnested unconditional moment restriction model. The second procedure is nonparametric and it tests the specification of a conditional moment restriction model against a nonnested conditional moment restriction model. The third procedure also is nonparametric but it tests the specification of a conditional moment restriction model against all alternative specifications. All procedures permit heteroskedasticity of unknown form and are shown to be consistent. The test statistics of the first two procedures are simply the t-ratios of a 2SLS estimator while that of the third procedure is computable from LS output via auxiliary LS regressions.

Keywords: Nonparametric; Hypothesis Testing; Moment Restrictions; Series Estimator (search for similar items in EconPapers)
JEL-codes: C20 (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
http://aeconf.com/Articles/May2001/aef020102.pdf (application/pdf)
http://down.aefweb.net/AefArticles/aef020102.pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:cuf:journl:y:2001:v:2:i:1:p:31-58

Access Statistics for this article

Annals of Economics and Finance is currently edited by Heng-fu Zou

More articles in Annals of Economics and Finance from Society for AEF Contact information at EDIRC.
Bibliographic data for series maintained by Qiang Gao ().