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Semiparametric Testing in Non-nested Econometric Models

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URI: https://hdl.handle.net/10016/2390
ISSN: 1467-937X
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semiparametric_RES_1994.pdf (546.01 KB)
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1994
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Blackwell
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We propose a specification test of parametrically specified nonlinear model against a weakly specified non-nested alternative. We estiamte the alternative model by using nonparametric regression (nearest righbours). The test is based on the t-statistic of an artificial regression. Monte-Carlo simulations suggest that the test has good power and size characteristic.
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Review of Economic Studies. 1994, vol. 61, nº. 2, p. 291-303
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