A Conditional Kolmogorov Test 论文
1997Econometrica引用 258
Statistical Distribution Estimation and ApplicationsBayesian Modeling and Causal InferenceStatistical Methods and Inference
摘要
This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/√n local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.