COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 968

"Tests of Specification for Parametric and Semiparametric Models"

Yoon-Jae Whang and Donald W.K. Andrews

January 1991

This paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops new specification tests using the general framework. In particular, specification tests for semiparametric partially linear regression, sample selection, and censored regression models are introduced. The results apply in time series and cross-sectional contexts. The method of proof exploits results concerning the stochastic equicontinuity or weak convergence of normalized sums of stochastic processes.

Keywords: Infinite dimensional nuisance parameter, semiparametric model, specification test, stochastic equicontinuity

JEL Classification: 211