Consistent model specification tests based on k-nearest-neighbor estimation method Academic Article uri icon


  • 2016 Elsevier B.V. We propose a simple consistent test for a parametric regression functional form based on k-nearest-neighbor (k-nn) method. We derive the null distribution of the test statistic and show that the test achieves the minimax rate optimality against smooth alternatives. A wild bootstrap method is used to better approximate the null distribution of the test statistic. We also propose a k-nn statistic which tests for omitted variables nonparametrically. Simulations and an empirical application using US economics new Ph.D. job market matching data show that the k-nn method is more appropriate than the kernel method to analyze unevenly distributed data.

published proceedings


author list (cited authors)

  • Li, H., Li, Q. i., & Liu, R.

citation count

  • 8

complete list of authors

  • Li, Hongjun||Li, Qi||Liu, Ruixuan

publication date

  • January 2016