Testing a parametric model against a semiparametric alternative

Joel L. Horowitz, Wolfgang Härdle

Research output: Contribution to journalArticlepeer-review

72 Scopus citations

Abstract

This paper describes a method for testing a parametric model of the mean of a random variable Y conditional on a vector of explanatory variables X against a semiparametric alternative. The test is motivated by a conditional moment test against a parametric alternative and amounts to replacing the parametric alternative model with a semiparametric model. The resulting semiparametric test is consistent against a larger set of alternatives than are parametric conditional moments tests based on finitely many moment conditions. The results of Monte Carlo experiments and an application illustrate the usefulness of the new test.

Original languageEnglish (US)
Pages (from-to)821-848
Number of pages28
JournalEconometric Theory
Volume10
Issue number5
DOIs
StatePublished - Dec 1994

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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