Semiparametric Specification Testing of Non-nested Econometric Models

Miguel Delgado () and Thanasis Stengos

The Review of Economic Studies, 1994, vol. 61, issue 2, 291-303

Abstract: We propose a specification test of a parametrically specified nonlinear model against a weakly specified non-nested alternative. We estimate the alternative model by using nonparametric regression (nearest neighbours). The test is based on the t-statistic of an artificial regression. Monte-Carlo simulations suggest that the test has good power and size characteristics.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:61:y:1994:i:2:p:291-303.

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