CFDP 1148

Some Higher Order Theory for a Consistent Nonparametric Model Specification Test


Publication Date: February 1997

Pages: 39


We provide second order theory for a smoothing-based model specification test. We derive the asymptotic cumulants and justify an Edgeworth distributional approximation valid to order close to n-1. This is used to define size-corrected critical values whose null rejection frequency improves on the normal critical values. Our simulations confirm the efficacy of this method in moderate sized samples


Published in Journal of Statistical Planning and Inference (January 2003), 109(1-2): 125-154 [DOI]