Consistent bootstrap tests of parametric regression functions
نویسنده
چکیده
This paper introduces speci"cation tests of parametric mean-regression models. The null hypothesis of interest is that the parametric regression function is correctly speci"ed. The proposed tests are generalizations of the Kolmogorov}Smirnov and Cramer}von Mises tests to the regression framework. They are consistent against all alternatives to the null hypothesis, powerful against 1/Jn local alternatives, not dependent on any smoothing parameters and simple to compute. A wild-bootstrap procedure is suggested to obtain critical values for the tests and is justi"ed asymptotically. A small-scale Monte Carlo experiment shows that our tests (especially Cramer}von Mises test) have outstanding small sample performance compared to some of the existing tests. ( 2000 Published by Elsevier Science S.A. All rights reserved. JEL classixcation: C12
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