Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression

Christoph Breunig

Papers from arXiv.org

Abstract: This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the vector of regressors. The tests' asymptotic distributions under correct specification are derived and their consistency against any alternative model is shown. Under a sequence of local alternative hypotheses, the asymptotic distributions of the tests is derived. Moreover, uniform consistency is established over a class of alternatives whose distance to the null hypothesis shrinks appropriately as the sample size increases. A Monte Carlo study examines finite sample performance of the test statistics.

Date: 2019-09
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Published in Journal of Econometrics, Volume 184, Issue 2, Feb 2015, Pages 328-346

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1909.10133

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