Title

Some Higher Order Theory for a Consistent Nonparametric Model Specification Test

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

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