Department of Economics and Business Economics

A smooth nonparametric conditional density test for categorical responses

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  • Li Cong, Department of Environmental Engineering, Denmark
  • J.S. Racine
We propose a consistent kernel-based specification test for conditional density models when the dependent variable is categorical/discrete. The method is applicable to popular parametric binary choice models such as the logit and probit specification and their multinomial and ordered counterparts, along with parametric count models, among others. The test is valid when the conditional density function contains both categorical and real-valued covariates. Theoretical support for the test and for a bootstrap-based version of the test is provided. Monte Carlo simulations are conducted to assess the finite-sample performance of the proposed method.
Original languageEnglish
JournalEconometric Theory
Pages (from-to)629-641
Number of pages13
Publication statusPublished - 1 Jun 2013

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