Improved Nonparametric Test for Misspecification of Functional Form

摘要

In two recent papers, Bierens (1990,1982) derives a consistent conditional moment test of functional form that can be a powerful tool to verify the specification of a nonlinear model. Unlike other conditional moment tests that test for the nonzero product of the residual from an estimated regression and a function of the explanatory variables of that regression, the Bierens test does not specify an alternative and encompassing form. It is also robust in that the null is not restricted to any particular form, such as the linearity restriction of the notable tests of Ramsey (1969) and Lee, White and Granger (1993), and it does not require a pre-specified parametric alternative that can be consistently estimated, as is true of the test of Hausman (1978).