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A Powerful Chi-Square Specification Test with Support Vectors

A Powerful Chi-Square Specification Test with Support Vectors

来源:Arxiv_logoArxiv
英文摘要

Specification tests, such as Integrated Conditional Moment (ICM) and Kernel Conditional Moment (KCM) tests, are crucial for model validation but often lack power in finite samples. This paper proposes a novel framework to enhance specification test performance using Support Vector Machines (SVMs) for direction learning. We introduce two alternative SVM-based approaches: one maximizes the discrepancy between nonparametric and parametric classes, while the other maximizes the separation between residuals and the origin. Both approaches lead to a $t$-type test statistic that converges to a standard chi-square distribution under the null hypothesis. Our method is computationally efficient and capable of detecting any arbitrary alternative. Simulation studies demonstrate its superior performance compared to existing methods, particularly in large-dimensional settings.

Yuhao Li、Xiaojun Song

计算技术、计算机技术

Yuhao Li,Xiaojun Song.A Powerful Chi-Square Specification Test with Support Vectors[EB/OL].(2025-05-07)[2025-05-24].https://arxiv.org/abs/2505.04414.点此复制

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