1998-04-03Buch DOI: 10.18452/3783
A Model Specification Test
A general model specification test of a parametric model against a nonparametric or semiparametric alternative is studied. The test statistic employs a fixed kernel, not varying by a bandwidth. This test is proved to be consistent, the asymptotic distribution is derived and shown to be approximated by a bootstrap procedure.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 109, SFB 373 Papers, ISSN:1436-1086