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A Conditional Kolmogorov Test

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Abstract

This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/{root n}-local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.

Suggested Citation

  • Donald W.K. Andrews, 1996. "A Conditional Kolmogorov Test," Cowles Foundation Discussion Papers 1111R, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:1111r
    Note: CFP 949.
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    References listed on IDEAS

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    1. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
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    More about this item

    Keywords

    Bootstrap; consistent test; parametric model; specification test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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