Testing parametric conditional distributions using the nonparametric smoothing method |
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Authors: | Xu Zheng |
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Institution: | 1. School of Economics, Antai College of Economics and Management, Shanghai Jiao Tong University, 200052, Shanghai, China
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Abstract: | This paper proposes a new goodness-of-fit test for parametric conditional probability distributions using the nonparametric
smoothing methodology. An asymptotic normal distribution is established for the test statistic under the null hypothesis of
correct specification of the parametric distribution. The test is shown to have power against local alternatives converging
to the null at certain rates. The test can be applied to testing for possible misspecifications in a wide variety of parametric
models. A bootstrap procedure is provided for obtaining more accurate critical values for the test. Monte Carlo simulations
show that the test has good power against some common alternatives. |
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Keywords: | |
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