Abstract
We propose a consistent and directional testing procedure for discriminating between two sets of regressors without specifying the functional form of the regressions or the distribution of the residuals. Our test statistic uses the empirical mean square error from a nonparametric (kernel) regression.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 207-219 |
| Number of pages | 13 |
| Journal | Econometrica |
| Volume | 64 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1996 |
ASJC Scopus subject areas
- Economics and Econometrics