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A simple framework for nonparametric specification testing. (English) Zbl 0968.62046
Summary: This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test statistics are asymptotically normal under the null. With an appropriate choice of the weight matrix, the tests are shown to be consistent and to have good local power. Specific implementations involving matrices of bin and kernel weights are discussed. Finite sample properties are explored in simulations.

MSC:
62G10 Nonparametric hypothesis testing
62P20 Applications of statistics to economics
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