CFDP 1111R

A Conditional Kolmogorov Test


Publication Date: September 1995

Revision Date: April 1996

Pages: 44


This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/root{n}-local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.

See CFP: 949