## Consistent Specification Tests for Semiparametric/Nonparametric Models Based on Series . . . (2003)

Venue: | JOURNAL OF ECONOMETRICS |

Citations: | 9 - 1 self |

### BibTeX

@ARTICLE{Li03consistentspecification,

author = {Qi Li and Cheng Hsiao and Joel Zinn},

title = {Consistent Specification Tests for Semiparametric/Nonparametric Models Based on Series . . . },

journal = {JOURNAL OF ECONOMETRICS},

year = {2003},

volume = {112},

pages = {295--325}

}

### OpenURL

### Abstract

This paper considers the problem of consistent model specification tests using series estimation methods. The null models we consider in this paper all contain some nonparametric components. A leading case we consider is to test for an additive partially linear model. The null distribution of the test statistic is derived using a central limit theorem for Hilbert valued random arrays. The test statistic is shown to be able to detect local alternatives that approach the null models at the order of O p (n -1/2 ). We suggest to use the wild bootstrap method to approximate the critical values of the test. A small Monte Carlo simulation is reported to examine the finite sample performance of the proposed test. We also show