IDEAS home Printed from https://ideas.repec.org/a/oup/restud/v61y1994i2p291-303..html
   My bibliography  Save this article

Semiparametric Specification Testing of Non-nested Econometric Models

Author

Listed:
  • Miguel A. Delgado
  • Thanasis Stengos

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.

Suggested Citation

  • Miguel A. Delgado & Thanasis Stengos, 1994. "Semiparametric Specification Testing of Non-nested Econometric Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 291-303.
    • Handle: RePEc:oup:restud:v:61:y:1994:i:2:p:291-303.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.2307/2297982
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:rri:wpaper:201303 is not listed on IDEAS
    2. Kelejian, Harry H. & Piras, Gianfranco, 2011. "An extension of Kelejian's J-test for non-nested spatial models," Regional Science and Urban Economics, Elsevier, vol. 41(3), pages 281-292, May.
    3. Atak, Alev & Linton, Oliver & Xiao, Zhijie, 2011. "A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom," Journal of Econometrics, Elsevier, vol. 164(1), pages 92-115, September.
    4. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
    5. Jean‐Pierre Florens & Jan Johannes & Sébastien Van Bellegem, 2012. "Instrumental regression in partially linear models," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 304-324, June.
    6. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    7. Davidson, R. & MacKinnon & J.G., 1999. "Artificial Regressions," G.R.E.Q.A.M. 99a04, Universite Aix-Marseille III.
    8. Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, vol. 3(3), pages 1-31, September.
    9. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    10. Miguel A. Delgado & Juan Mora, 1995. "On asymptotic inferences in non-parametric and semiparametric models with discrete and mixed regressors," Investigaciones Economicas, Fundación SEPI, vol. 19(3), pages 435-467, September.
    11. Mora, Juan, 1994. "Semiparametric testing of non-nested models: an application to Engel Curves specification," DES - Working Papers. Statistics and Econometrics. WS 3953, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
    13. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
    14. Yanqin Fan & Qi Li, 2002. "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 337-352.
    15. Li, Qi & Stengos, Thanasis, 1994. "Non-parametric specification testing of non-nested econometric models," DES - Working Papers. Statistics and Econometrics. WS 3961, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Harry H. Kelejian & Gianfranco Piras, 2013. "A J-Test for Panel Models with Fixed Effects, Spatial and Time," Working Papers Working Paper 2013-03, Regional Research Institute, West Virginia University.
    17. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(4), pages 769-803, August.
    18. Bernard Fingleton & Silvia Palombi, 2016. "Bootstrap J -Test for Panel Data Models with Spatially Dependent Error Components, a Spatial Lag and Additional Endogenous Variables," Spatial Economic Analysis, Taylor & Francis Journals, vol. 11(1), pages 7-26, March.
    19. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    20. Harry H. Kelejian & Gianfranco Piras, 2016. "A J test for dynamic panel model with fixed effects, and nonparametric spatial and time dependence," Empirical Economics, Springer, vol. 51(4), pages 1581-1605, December.
    21. Maria-Isabel Ayuda & Antonio Aznar, 2000. "Power in non-nested models: a comparative study," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 483-486.
    22. Li, Qi & Stengos, Thanasis, 1995. "A semi-parametric non-nested test in a dynamic panel data model," Economics Letters, Elsevier, vol. 49(1), pages 1-6, July.
    23. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
    24. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:61:y:1994:i:2:p:291-303.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/restud .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.