Document Type
Discussion Paper
Publication Date
9-1-1995
CFDP Number
1111R
CFDP Revision Date
1996-04-01
CFDP Pages
44
Abstract
This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/root{n}-local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.
Recommended Citation
Andrews, Donald W.K., "A Conditional Kolmogorov Test" (1995). Cowles Foundation Discussion Papers. 1354.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1354