A smooth nonparametric conditional density test for categorical responses created by Cong Li and Jeffrey S. Racine

By:

Li, Cong [author]

Contributor(s):

Racine, Jeffrey S [co author]

Material type: Text

TextSeries: Econometric Theory ; Volume 29, number 3,Cambridge: Cambridge University Press, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: We propose a consistent kernel-based specification test for conditional density models when the dependent variable is categorical/discrete. The method is applicable to popular parametric binary choice models such as the logit and probit specification and their multinomial and ordered counterparts, along with parametric count models, among others. The test is valid when the conditional density function contains both categorical and real-valued covariates. Theoretical support for the test and for a bootstrap-based version of the test is provided. Monte Carlo simulations are conducted to assess the finite-sample performance of the proposed method.

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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library Journal Article	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 29, no.3 (pages 629-641)	SP17539	Not for loan	For In House Use Only

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We propose a consistent kernel-based specification test for conditional density models when the dependent variable is categorical/discrete. The method is applicable to popular parametric binary choice models such as the logit and probit specification and their multinomial and ordered counterparts, along with parametric count models, among others. The test is valid when the conditional density function contains both categorical and real-valued covariates. Theoretical support for the test and for a bootstrap-based version of the test is provided. Monte Carlo simulations are conducted to assess the finite-sample performance of the proposed method.

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