Goodness-of-fit tests based on series estimators in nonparametric instrumental regression


Breunig, Christoph


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URL: https://ub-madoc.bib.uni-mannheim.de/32111
URN: urn:nbn:de:bsz:180-madoc-321110
Document Type: Working paper
Year of publication: 2012
The title of a journal, publication series: Working Paper Series
Volume: 12-13
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Statistik (Mammen)
MADOC publication series: Department of Economics > Working Paper Series
Subject: 310 Statistics
Classification: JEL: C12 , C14,
Abstract: This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the vector of regressors. The tests are asymptotically normally distributed under correct specification and consistent against any alternative model. Under a sequence of local alternative hypotheses, the asymptotic distribution of the tests is derived. Moreover, uniform consistency is established over a class of alternatives whose distance to the null hypothesis shrinks appropriately as the sample size increases.

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Breunig, Christoph (2012) Goodness-of-fit tests based on series estimators in nonparametric instrumental regression. Open Access Working Paper Series Mannheim 12-13 [Working paper]
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