Econometrica: Sep 1997, Volume 65, Issue 5

A Conditional Kolmogorov Test<1097:ACKT>2.0.CO;2-X
p. 1097-1128

Donald W. K. Andrews

This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against $1/\sqrt n$ local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.

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