EconPapers    
Economics at your fingertips  
 

SPECIFICATION TESTING WHEN THE NULL IS NONPARAMETRIC OR SEMIPARAMETRIC

Rodríguez-Póo, Juan M., Stefan Sperlich () and Philippe Vieu

Econometric Theory, 2015, vol. 31, issue 6, 1281-1309

Abstract: This paper discusses the problem of testing misspecifications in semiparametric regression models for a large family of econometric models under rather general conditions. We focus on two main issues that typically arise in econometrics. First, many econometric models are estimated through maximum likelihood or pseudo-ML methods like, for example, limited dependent variable or gravity models. Second, often one might not want to fully specify the null hypothesis. Instead, one would rather impose some structure like separability or monotonicity. In order to address these points we introduce an adaptive omnibus test. Special emphasis is given to practical issues like adaptive bandwidth choice, general but simple requirements on the estimates, and finite sample performance, including the resampling approximations.

Date: 2015
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article 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: https://EconPapers.repec.org/RePEc:cup:etheor:v:31:y:2015:i:06:p:1281-1309_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2020-10-17
Handle: RePEc:cup:etheor:v:31:y:2015:i:06:p:1281-1309_00