Consistent Specification Tests for Regression Models |
Chunrong Ai |
This paper presents three procedures for testing
specifications of regression models. The first procedure is parametric and it tests the specification of an unconditional
moment restriction model against a nonnested unconditional moment restriction model. The second procedure is nonparametric and it
tests the specification of a conditional moment restriction model against a nonnested conditional moment restriction model. The
third procedure also is nonparametric but it tests the specification of a conditional moment restriction model against
all alternative specifications. All procedures permit heteroskedasticity of unknown form and are shown to be
consistent. The test statistics of the first two procedures are simply the t-ratios of a 2SLS estimator while that of the third
procedure is computable from LS output via auxiliary LS |
Key
Words:
Nonparametric; Hypothesis Testing; Moment Restrictions; Series Estimator. |
JEL Classification Numbers: C20. |