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On the choice of regularization parameters in specification testing: a critical discussion

Sperlich, Stefan

In: Empirical Economics, 2014, vol. 47, no. 2, p. 427-450

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    Titel
    • On the choice of regularization parameters in specification testing: a critical discussion
    Autor
    • Sperlich, Stefan. Département des sciences économiques and Research Center for Statistics, Université de Genève, Bd du Pont d'Arve 40, 1211, Geneva, Switzerland
    Dokumententyp
    • Postprint
    Sprache
    • Englisch
    Veröffentlicht in
    • Empirical Economics, 2014, vol. 47, no. 2, p. 427-450. Springer Berlin Heidelberg
    Andere elektronische Ausgabe
    OAI-PMH-ID
    • oai:doc.rero.ch:326206
    Summary
    This article reviews and discusses the problem of choosing smoothing parameters and resampling schemes for specification tests in econometrics. While smoothing is used for the regularization of the non-specified parts of the null hypothesis and omnibus alternatives, the resampling serves for determining the critical value. Several of the existing selection methods are discussed, implemented, and compared. This has been done for cross-sectional data along the example of additivity testing. Doubtless, all problems considered here carry over to specification testing with dependent data. Intensive simulations illustrate that this is still an open problem that easily corrupts these tests in practice. Possible ways out of the dilemma are proposed.