Some Higher Order Theory for a Consistent Nonparametric Model Specification Test

Yanqin Fan and Oliver Linton
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Yanqin Fan: University of Windsor

No 1148, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We provide second order theory for a smoothing-based model specification test. We derive the asymptotic cumulants and justify an Edgeworth distributional approximation valid to order close to n^{-1}. This is used to define size-corrected critical values whose null rejection frequency improves on the normal critical values. Our simulations confirm the efficacy of this method in moderate sized samples.

Keywords: Consistent test; Edgeworth expansion; kernel estimation; nonlinear regression (search for similar items in EconPapers)
Pages: 39 pages
Date: 1997-02
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Citations: View citations in EconPapers (7)

Published in Journal of Statistical Planning and Inference (2003), 109(1-2): 125-154

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