SPECIFICATION TESTING FOR ERRORS-IN-VARIABLES MODELS

被引：6

作者：

Otsu, Taisuke ^{[1
]}

Taylor, Luke ^{[2
]}

机构：

[1] London Sch Econ, London, England

[2] Aarhus Univ, Aarhus, Denmark

来源：

ECONOMETRIC THEORY | 2021年 / 37卷 / 04期

关键词：

INTEGRATED SQUARE ERROR; REGRESSION-MODEL; DECONVOLUTION; CHECKING; PARAMETER;

D O I：

10.1017/S0266466620000262

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers specification testing for regression models with errors-in-variables and proposes a test statistic comparing the distance between the parametric and nonparametric fits based on deconvolution techniques. In contrast to the methods proposed by Hall and Ma (2007, Annals of Statistics, 35, 2620-2638) and Song (2008, Journal of Multivariate Analysis, 99, 2406-2443), our test allows general nonlinear regression models and possesses complementary local power properties. We establish the asymptotic properties of our test statistic for the ordinary and supersmooth measurement error densities. Simulation results endorse our theoretical findings: our test has advantages in detecting high-frequency alternatives and dominates the existing tests under certain specifications.

引用

页码：747 / 768

页数：22

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