Goodness-of-fit tests based on series estimators in nonparametric instrumental regression |
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Authors: | Christoph Breunig |
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Institution: | Department of Economics, Humboldt-Universität zu Berlin, Spandauer Straße 1, 10178 Berlin, Germany |
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Abstract: | This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the vector of regressors. The tests’ asymptotic distributions under correct specification are derived and their consistency against any alternative model is shown. Under a sequence of local alternative hypotheses, the asymptotic distributions of the tests are derived. Moreover, uniform consistency is established over a class of alternatives whose distance to the null hypothesis shrinks appropriately as the sample size increases. A Monte Carlo study examines finite sample performance of the test statistics. |
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Keywords: | C12 C14 |
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