A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS

Yanqin Fan and Qi Li

Econometric Reviews, 2002, vol. 21, issue 3, 337-352

Abstract: This paper constructs a consistent model specification test based on the difference between the nonparametric kernel sum of squares of residuals and the sum of squares of residuals from a parametric null model. We establish the asymptotic normality of the proposed test statistic under the null hypothesis of correct parametric specification and show that the wild bootstrap method can be used to approximate the null distribution of the test statistic. Results from a small simulation study are reported to examine the finite sample performance of the proposed tests.

Keywords: Consistent test; Kernel method; Sum of squares of residuals; Asymptotic normality; Wild bootstrap; Simulation; JEL Classification Number : C12; C14 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (5)

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DOI: 10.1081/ETC-120015787

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