Non-parametric specification testing of non-nested econometric models

Publication:
Non-parametric specification testing of non-nested econometric models

dc.affiliation.dpto	UC3M. Departamento de Estadística	es
dc.contributor.author	Delgado, Miguel A.
dc.contributor.author	Li, Qi
dc.contributor.author	Stengos, Thanasis
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned	2009-04-15T07:17:43Z
dc.date.available	2009-04-15T07:17:43Z
dc.date.issued	1994-12
dc.description.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.
dc.format.mimetype	application/pdf
dc.identifier.uri	https://hdl.handle.net/10016/3961
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working Papers. Statistics and Econometrics;
dc.relation.ispartofseries	1994-51-19
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Estadística
dc.subject.other	Non-parametric test
dc.subject.other	Non-nested models
dc.subject.other	Double kernel estimation
dc.title	Non-parametric specification testing of non-nested econometric models
dc.type	working paper	*
dspace.entity.type	Publication