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Chapter
Nonparametric Bootstrap Specification Testing in Econometric Models
DOI link for Nonparametric Bootstrap Specification Testing in Econometric Models
Nonparametric Bootstrap Specification Testing in Econometric Models book
Nonparametric Bootstrap Specification Testing in Econometric Models
DOI link for Nonparametric Bootstrap Specification Testing in Econometric Models
Nonparametric Bootstrap Specification Testing in Econometric Models book
ABSTRACT
Since the path-breaking work of Karl Pearson the 20th century saw significant advance in parametric statistical and econometric hypothesis-testing procedures [see Bera (2000) for an excellent survey]. A problem with the parametric testing procedures is that the tests may not be consistent under the mis-specified alternative hypotheses. In the last two decades a rich literature has developed on constructing consistent model specification tests using nonparametric estimation techniques. Bierens (1982) was the first to provide a consistent conditional moment test for model mis-specification. Ullah (1985) first suggested the construction of a model specification test using the nonparametric estimation technique. A nonparametric specification test for time-series data was first proposed by Robinson (1989).