Semiparametric Specification Testing of Non-nested Econometric Models

DOI10.2307/2297982MaRDI QIDQ4301279zbMATH OpenOpenAlexFDO

Authors Miguel Delgado, Thanasis Stengos

Publication date 6 February 1995

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/7822c02b7df4a87195461f26e08ade9e1ee3775f

zbMATH Keywords

J-testk-nearest neighbour regressionnon-nested alternativesnon-nested regression modelsnonlinear econometric modelsnonlinear least squares estimatornonlinear null hypothesisnonparametric regressionsmall-sample performancespecification testt-statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cited in

(20)

• ARMAX model specification testing, with an application to unemployment in the Netherlands
• A simple consistent bootstrap test for a parametric regression function
• Tests of specification for parametric and semiparametric models
• On theory testing in econometrics. Modeling with nonexperimental data
• Nonparametric tests for model selection with time series data
• A simple framework for nonparametric specification testing
• Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
• Exact permutation tests for non-nested non-linear regression models
• k-nearest neighbor estimation of inverse-density-weighted expectations with dependent data
• Bias corrections in testing and estimating semiparametric, single index models
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Specification testing when the null is nonparametric or semiparametric
• The J-test as a Hausman specification test
• Specification Tests in Econometrics
• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• Econometric Model Specification
• Bootstrapping J-type tests for non-nested regression models
• A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
• A simple test for regression specification with non-nested alternatives
• Testing the specification of multivariate models in the presence of alternative hypotheses

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