An alternative test to ”Consistent Specification Testing via Nonparametric Series Regression”

Yun Sun
School of Economics and Management, Tsinghua University
Qi Li
Department of Economics, Texas A&M University
Abstract. This paper presents a consistent specification test of a
parametric regression function against a general nonparametric alternative
based on series regression. The proposed test has the same asymptotic
property as Hong and Whites(1995)’s but accomodates a larger variety of
regression functions. We specify our result to power series and regression
splines, and present a Monte Carlo study of the new statistic in comparison
to Hong and White’s.
Keywords: model specification test, consistent testing, nonparametric
series estimation, power series, regression splines.