SEMIPARAMETRIC SPECIFICATION TESTING OF NONNESTED ECONOMETRIC-MODELS

被引：19

作者：

DELGADO, MA

STENGOS, T

机构：

[1] UNIV GUELPH,GUELPH N1G 2W1,ONTARIO,CANADA

[2] UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON WC2A 2AE,ENGLAND

来源：

REVIEW OF ECONOMIC STUDIES | 1994年 / 61卷 / 02期

基金：

英国经济与社会研究理事会;

关键词：

D O I：

10.2307/2297982

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a specification test of a parametrically specified nonlinear model against a weakly specified non-nested alternative. We estimate the alternative model by using nonparametric regression (nearest neighbours). The test is based on the t-statistic of an artificial regression. Monte-Carlo simulations suggest that the test has good power and size characteristics.

引用

收藏

页码：291 / 303

页数：13

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