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Tests of specification for parametric and semiparametric models. (English) Zbl 0786.62029
Authors’ summary: The paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops new specification tests using the general framework. In particular, specification tests for semiparametric partially linear regression and sample selection models are introduced. The results apply in time series and cross-sectional contexts. The method of proof exploits results concerning the stochastic equicontinuity or weak convergence of normalized sums of stochastic processes.

MSC:
62F03 Parametric hypothesis testing
62F99 Parametric inference
62J05 Linear regression; mixed models
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