Abstract
Ralph Bradley and Robert McClelland (1996)
"A General Nonparametric Test for Misspecification."
We establish a new consist, uniformly most powerful test
for misspecification. Unlike most previous work, we use a
constrained cross-validation scheme for smoothing parameter
selection, so that the test does not require arbitrary
parameter selections. We address the degeneracy issue through
a bootstrap procedure that also allows us to establish the
asymptotic distribution of our test statistic. By allowing
the use of higher-order kernels without the calculation of
higher order derivatives, our test should be simpler to
calculate and more powerful than similar tests. Finally, we
show that out test can be applied to discrete as well as
continuous regressors.
Last Modified Date: July 19, 2008
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