Neyman's smooth test and its use in econometrics

• Main Authors: BERA, Anil K., GHOSH, Aurobindo
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2001
• Subjects: smooth test; goodness-of-fit tests; probability integral transform; unbiased test; score test; density forecast evaluation; calibration; orthogonal polynomials; predictive density; data-driven methods; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1059; https://ink.library.smu.edu.sg/context/soe_research/article/2058/viewcontent/SSRN_id272888__1_.pdf
• Institution: Singapore Management University

The following essay is a reappraisal of the role of the smooth test proposed by Neyman (1937) in the context of current applications in econometrics. We revisit the derivation of the smooth test and put it into the perspective of the existing literature on tests based on probability integral transfo...