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Testing for a Functional Form of Mean Regression in a Fully Parametric Environment
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Journal Article
Testing for a Functional Form of Mean Regression in a Fully Parametric Environment
2019
Overview
We develop a test for a restricted functional form of a mean regression when a complex distributional model for all variables is estimated. The test statistic is an average squared deviation from the estimated hypothesized function of the form implied by the estimated parametric model, and is asymptotically distributed as a mixture of
distributions. The test is easy to implement using numerical derivatives, and it performs well in samples of typical size. We illustrate the test using data on labor market characteristics of US young men.
Publisher
De Gruyter,Walter de Gruyter GmbH
Subject
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