A SMOOTH NONPARAMETRIC CONDITIONAL DENSITY TEST FOR CATEGORICAL RESPONSES

B-Tier
Journal: Econometric Theory
Year: 2013
Volume: 29
Issue: 3
Pages: 629-641

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a consistent kernel-based specification test for conditional density models when the dependent variable is categorical/discrete. The method is applicable to popular parametric binary choice models such as the logit and probit specification and their multinomial and ordered counterparts, along with parametric count models, among others. The test is valid when the conditional density function contains both categorical and real-valued covariates. Theoretical support for the test and for a bootstrap-based version of the test is provided. Monte Carlo simulations are conducted to assess the finite-sample performance of the proposed method.

Technical Details

RePEc Handle
repec:cup:etheor:v:29:y:2013:i:03:p:629-641_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29