World Conference Econometric Society, 2000, Seattle

Joel Horowitz, University of Iowa |

An Adaptive, Rate-Optimal Test of a Parametric Model Against a Nonparametric Alternative |

Session: C-5-22 Sunday 13 August 2000 by Horowitz, Joel |

This paper describes a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the fastest possible rate. This rate is slower than n-1/2. Some existing tests have non-trivial power against restricted classes of alternatives whose distance from the parametric model decreases at the rate n-1/2. There are, however, sequences of alternatives against which these tests are inconsistent and ours is consistent. As a consequence, there are alternative models for which the finite-sample power of our test greatly exceeds that of existing tests. This conclusion is illustrated by the results of some Monte Carlo experiments. |

Submitted paper full-text in .pdf |

File created by Jurgen Doornik with eswc2000.ox on 2-01-2001