Document Type
Discussion Paper
Publication Date
2-1-1997
CFDP Number
1148
CFDP 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
Recommended Citation
Fan, Yanqin and Linton, Oliver B., "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test" (1997). Cowles Foundation Discussion Papers. 1396.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1396