Pii: S0165-1765(01)00360-3
نویسنده
چکیده
This paper introduces specification tests for conditional moment restrictions. The proposed tests are generalizations of the Kolmogorov–Smirnov and Cramer–von Mises tests and they are consistent against all ] Œ alternatives to the null hypothesis, powerful against 1 / n local alternatives and not dependent on any smoothing parameter. A nonparametric bootstrap procedure based on recentered criterion function is suggested to obtain critical values for the tests and is justified asymptotically. 2001 Elsevier Science B.V. All rights reserved.
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