A SMOOTH NONPARAMETRIC CONDITIONAL DENSITY TEST FOR CATEGORICAL RESPONSES
分类响应条件密度的平滑非参数检验
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…