TITLE

On the choice of regularization parameters in specification testing: a critical discussion

AUTHOR(S)
Sperlich, Stefan
PUB. DATE
September 2014
SOURCE
Empirical Economics;Sep2014, Vol. 47 Issue 2, p427
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This article reviews and discusses the problem of choosing smoothing parameters and resampling schemes for specification tests in econometrics. While smoothing is used for the regularization of the non-specified parts of the null hypothesis and omnibus alternatives, the resampling serves for determining the critical value. Several of the existing selection methods are discussed, implemented, and compared. This has been done for cross-sectional data along the example of additivity testing. Doubtless, all problems considered here carry over to specification testing with dependent data. Intensive simulations illustrate that this is still an open problem that easily corrupts these tests in practice. Possible ways out of the dilemma are proposed.
ACCESSION #
97288611

 

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