TESTS OF SPECIFICATION FOR PARAMETRIC AND SEMIPARAMETRIC MODELS

被引：54

作者：

WHANG, YJ

ANDREWS, DWK

机构：

[1] YALE UNIV,COWLES FDN RES ECON,BOX 2125,NEW HAVEN,CT 06520

[2] UNIV TORONTO,TORONTO M5S 1A1,ONTARIO,CANADA

来源：

JOURNAL OF ECONOMETRICS | 1993年 / 57卷 / 1-3期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0304-4076(93)90068-G

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops new specification tests using the general framework. In particular, specification tests for semiparametric partially linear regression and sample selection models are introduced. The results apply in time series and cross-sectional contexts. The method of proof exploits results concerning the stochastic equicontinuity or weak convergence of normalized sums of stochastic processes.

引用

页码：277 / 318

页数：42

共 52 条

[1] ASYMPTOTIC NORMALITY OF SERIES ESTIMATORS FOR NONPARAMETRIC AND SEMIPARAMETRIC REGRESSION-MODELS [J].