CFDP 1148

Some Higher Order Theory for a Consistent Nonparametric Model Specification Test

Author(s): 

Publication Date: February 1997

Pages: 39

Abstract: 

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

Note: 

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