A conditional Kolmogorov test

被引：133

作者：

Andrews, DWK

机构：

来源：

ECONOMETRICA | 1997年 / 65卷 / 05期

关键词：

bootstrap; consistent test; parametric model; specification test;

D O I：

10.2307/2171880

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/root n local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.

引用

页码：1097 / 1128

页数：32

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