A conditional Kolmogorov test

被引：135
作者：
Andrews, DWK
机构：
来源：
ECONOMETRICA | 1997年 / 65卷 / 05期
关键词：
bootstrap; consistent test; parametric model; specification test;
D O I：
10.2307/2171880
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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收藏
页码：1097 / 1128
页数：32
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