Non-parametric specification testing of non-nested econometric models

Qi Li and Thanasis Stengos
Authors registered in the RePEc Author Service: Miguel A. Delgado ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We consider the non-nested testing prqblem of non-parametric regressions. We show that, when the regression functions are unknown under both the null and the alternative hypotheses, an extension of the J-test procedure of Davidson and Mackinnon (1981) will lead to a test statistic with well defined asymptotic properties. The derivation of the test statistic involves double kernel estimation. Monte Carlo simulations suggest that the test has good size and power characteristics.

Keywords: Non-parametric; test; Non-nested; models; Double; kernel; estimation (search for similar items in EconPapers)
Date: 1994-12
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3961

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