A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
提出一种基于非参数核残差平方和与参数模型残差平方和之差的一致模型设定检验，证明了检验统计量的渐近正态性，并采用wild bootstrap方法逼近其零分布，模拟研究验证了有限样本表现。
This paper constructs a consistent model specification test based on the difference between the nonparametric kernel sum of squares of residuals and the sum of squares of residuals from a parametric null model. We establish the asymptotic normality of the proposed test statistic under the null hypothesis of correct parametric specification and show that the wild bootstrap method can be used to approximate the null distribution of the test statistic. Results from a small simulation study are reported to examine the finite sample performance of the proposed tests.