COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 762 "Random Cell Chi-Square Diagnostic Tests for Econometric
Models: Donald W.K. Andrews September 1985 This paper and its sequel, Andrews [4], extend the Pearson chi-square testing method to
non-dynamic parametric econometric models, in particular, models with covariates. The
present paper introduced the test and discusses a wide variety of applications. Andrews
[4] establishes the asymptotic properties of the test, by extending recent probabilistic
results for the weak convergence of empirical processes indexed by sets. The chi-square
test that is introduced can be used to test goodness-of-fit of a parametric model, as well
as to test particular aspects of the parametric model that are of interest. In the event
of rejection of the null hypothesis of correct specification, the test provides
information concerning the direction of departure from the null. The results allow for
estimation of the parameters of the model by quite general methods. The cells used to
construct the test statistic my be random and can be specified in a general form. |
