Testing for a functional form of mean regression in a fully parametric environment

0505017 - NHU-C 2020 RIV DE eng J - Článek v odborném periodiku
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
Institucionální podpora: Progres-Q24
Klíčová slova: mean regression * functional form * specification test
Obor OECD: Applied Economics, Econometrics
Způsob publikování: Omezený přístup
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.
Trvalý link: http://hdl.handle.net/11104/0296543