TY  - JOUR
AU  - Ellison,Glenn
AU  - Ellison,Sara Fisher
TI  - A Simple Framework for Nonparametric Specification Testing
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 234
PY  - 1998
Y2  - September 1998
UR  - http://www.nber.org/papers/t0234
L1  - http://www.nber.org/papers/t0234.pdf
N1  - Author contact info:
Glenn Ellison
Department of Economics
Massachusetts Institute of Technology
50 Memorial Drive, E52-380A
Cambridge, MA 02142-1347
Tel: 617/253-8702
Fax: 617/253-1330
E-Mail: gellison@mit.edu

Sara Fisher Ellison
MIT, E52-274A
50 Memorial Drive
Cambridge, MA  02142
Tel: 617-253-3821
Fax: 617-253-1330
E-Mail: sellison@mit.edu
AB  - 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.
ER  -