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Office of Survey Methods Research
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Published Year: 1996
Survey/Program(s): Office of Prices and Living Conditions
Catalog: Economic Working Paper
WP Number: WP-282
Publication Status / Disposition: Available from the Office of Prices and Living Conditions (May 1996).
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A General Nonparametric Test for Misspecification
Abstract
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.