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| Author: | Ellison, G. Fisher Ellison, S. |
| Title: | A simple framework for nonparametric specification testing |
| Journal: | Journal of Econometrics
2000 : MAY, VOL. 96:1, p. 1-23 |
| Index terms: | Models |
| Freeterms: | Consistent testing Specification testing |
| Language: | eng |
| Abstract: | This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. With an appropriate choice of the weight matrix, the tests are shown to be consistent and to have good local power. Specific implementations are discussed. Finite sample properties are explored in simulations. |
SCIMA