A Conditional Kolmogorov Test

Donald Andrews ()

No 1111R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/{root n}-local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.

Keywords: Bootstrap; consistent test; parametric model; specification test (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Pages: 44 pages
Date: 1996-04
Note: CFP 949.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Econometrica (September 1997), 65(5): 1097-1128

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d11/d1111-r.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: A Conditional Kolmogorov Test (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1111r

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().