Model specification tests against non-nested alternatives

Consistent Model Specification Tests Against Smooth Transition Alternatives∗

In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger (1997), provides maximal power against nonlinear smooth transition ARX specifications, and is consistent ...

Specification of the cross nested logit model with sampling of alternatives for route choice models

A novel approach is proposed to use the Cross Nested Logit (CNL) model in route choice when sampling of paths is considered. It adopts the Metropolis-Hasting algorithm to sample the choice sets for the model. A new expansion factor and an approximation method are put forward to calculate the sampled probabilities of alternatives. We build on state-of-the-art results for the Multivariate Extreme...

Consistent Model Specification Tests∗

This paper reviews the literature on tests for the correct specification of the functional form of parametric conditional expectation and conditional distribution models. In particular I will discuss various versions of the Integrated Conditional Moment (ICM) test and the ideas behind them.

Non-parametric Specification Testing of Non-nested Econometric Models.*

We consider the non-nested testing prqblem of non-parametric regressions. We show that, when the regression functions are unknown under both the null and the alternative hypotheses, an extension of the J-test procedure of Davidson and Mackinnon (1981) will lead to a test statistic with well defined asymptotic properties. The derivation of the test statistic involves double kernel estimation. Mo...

Technical Appendix for "Consistent and Non-Degenerate Model Speci...cation Tests Against Smooth Transition and Neural Network Alternatives"