Semiparametric Specification Testing of Non-nested Econometric Models

S-Tier
Journal: Review of Economic Studies
Year: 1994
Volume: 61
Issue: 2
Pages: 291-303

Authors (2)

Miguel A. Delgado (not in RePEc) Thanasis Stengos (University of Guelph)

Score contribution per author:

4.022 = (α=2.01 / 2 authors) × 4.0x S-tier

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

Abstract

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.

Technical Details

RePEc Handle
repec:oup:restud:v:61:y:1994:i:2:p:291-303.
Journal Field
General
Author Count
2
Added to Database
2026-01-25