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Testing for a functional form of mean regression in a fully parametric environment
- 1.0505017 - NHU-C 2020 RIV DE eng J - Journal Article
Anatolyev, Stanislav
Testing for a functional form of mean regression in a fully parametric environment.
Journal of Econometric Methods. Roč. 8, č. 1 (2019), s. 1-20, č. článku 20160013. ISSN 2156-6674
Institutional support: Progres-Q24
Keywords : mean regression * functional form * specification test
OECD category: Applied Economics, Econometrics
Method of publishing: Limited access
http://dx.doi.org/10.1515/jem-2016-0013
We develop a test for a restricted functional form of a mean regression when a complex distributional model for all variables is estimated. The test statistic is an average squared deviation from the estimated hypothesized function of the form implied by the estimated parametric model, and is asymptotically distributed as a mixture of χ2 distributions. The test is easy to implement using numerical derivatives, and it performs well in samples of typical size. We illustrate the test using data on labor market characteristics of US young men.
Permanent Link: http://hdl.handle.net/11104/0296543
Number of the records: 1