On the Performance of the H-H Test

Isabelle Proenca
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Isabelle Proenca: CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium

No 1993005, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Horowitz and HardIe (1992) proposed a procedure for testing a parametric model against a semiparametric alternative (called the H-H test) which is based on the evaluation of moment conditions following the methodology presented by Newey (1985). Their approach is related to Bierens (1990) test to detect any kind of model misspecification also based on Newey's framework. It is shown that these tests procedures are consistent (the asymptotic power is equal to 1 in the set of alternatives). However the absence of information about their finite sample properties make simulations required to evaluate their quality on discriminating model misspecification. In this paper the small sample performance of the H-H test is analized concerning the empirical power and size by a Monte Carlo study with single index models. The results are compared with those obtained using Bierens' test.

Date: 1993-02-01
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