Goodness-of-fit tests based on series estimators in nonparametric instrumental regression

Christoph Breunig

No 12-13, Working Papers from University of Mannheim, Department of Economics

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 are asymptotically normally distributed under correct specification and consistent against any alternative model. Under a sequence of local alternative hypotheses, the asymptotic distribution 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.

JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm
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