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A Consistent Model Specification Test For A Regression Function Based On Nonparametric Wavelet Estimation

Author

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  • Thanasis Stengos
  • Yiguo Sun

Abstract

In this paper we present a consistent specification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation and it is shown to have similar rates of convergence to the more commonly used kernel based tests. Monte Carlo simulations show that this test statistic has adequate size and high power and that it compares favorably with its kernel based counterparts in small samples.

Suggested Citation

  • Thanasis Stengos & Yiguo Sun, 2001. "A Consistent Model Specification Test For A Regression Function Based On Nonparametric Wavelet Estimation," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 41-60.
    • Handle: RePEc:taf:emetrv:v:20:y:2001:i:1:p:41-60
    DOI: 10.1081/ETC-100104079
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    Citations

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    Cited by:

    1. Malikov, Emir & Sun, Yiguo, 2017. "Semiparametric estimation and testing of smooth coefficient spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 199(1), pages 12-34.
    2. Tae-Hwy Lee & Zhou Xi & Ru Zhang, 2013. "Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks," Working Papers 201422, University of California at Riverside, Department of Economics, revised Apr 2012.
    3. Sun, Yiguo, 2006. "A Consistent Nonparametric Equality Test Of Conditional Quantile Functions," Econometric Theory, Cambridge University Press, vol. 22(4), pages 614-632, August.
    4. Russell Davidson & Victoria Zinde‐Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(5), pages 1595-1631, December.
    5. Lin, Zhongjian & Li, Qi & Sun, Yiguo, 2014. "A consistent nonparametric test of parametric regression functional form in fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 167-179.
    6. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    7. Yousefi, Shahriar & Weinreich, Ilona & Reinarz, Dominik, 2005. "Wavelet-based prediction of oil prices," Chaos, Solitons & Fractals, Elsevier, vol. 25(2), pages 265-275.

    More about this item

    Keywords

    Wavelets; Consistent specification test; Nonparametric regression; JEL Classification: C12; C14; C52;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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