Misspecification Testing in a Class of Conditional Distributional Models

Christoph Rothe and Dominik Wied

Journal of the American Statistical Association, 2013, vol. 108, issue 501, 314-324

Abstract: We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer--von Mises distance between an unrestricted estimate of the joint distribution function of the data and a restricted estimate that imposes the structure implied by the model. The procedure is straightforward to implement, is consistent against fixed alternatives, has nontrivial power against local deviations of order n -super- - 1/2 from the null hypothesis, and does not require the choice of smoothing parameters. In an empirical application, we use our test to study the validity of various models for the conditional distribution of wages in the United States.

Date: 2013
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Working Paper: Misspecification Testing in a Class of Conditional Distributional Models (2012)
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DOI: 10.1080/01621459.2012.736903

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