NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

A Simple Framework for Nonparametric Specification Testing

Glenn Ellison, Sara Fisher Ellison

NBER Technical Working Paper No. 234*
Issued in September 1998

This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test statistics are asymptotically normal under the null. With an appropriate choice of the weight matrix, the tests are shown to be consistent and to have good local power. Specific implementations involving matrices of bin and kernel weights are discussed. Finite sample properties are explored in simulations and an application to some parametric models of gasoline demand is presented.

*Published: Journal of Econometrics, Vol. 96, no. 1 (2000): 1-23.

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