Pagan and Ullah (1999) discuss the how to compare the fit of a parametric model to that of a nonparametric model. See Section 3.13.
Pagan, A. and A. Ullah, Nonparametric Econometrics, Cambridge University Press, 1999.
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of Jeff Pitblado,
StataCorp LP
Sent: Tuesday, June 01, 2004 3:00 PM
To: [email protected]
Subject: Re: st: RE: -locpoly-
> (3) How can I statistically compare (given a confidence level) the
> parametric fit "y-hat" with the non-parametric fit "conditional-y-mean" ?
> Has anyone written a statistical test such as the one described in
> Hardle(1990, ch.9.3) for the qsuared deviation between the two measures ?
This is a good research question worth a literature search. Simonoff has some
discussion of goodnetss-of-fit:
Simonoff, J. S. 1996. Smoothing Methods in Statistics. Springer:
New York.
--Jeff
[email protected]
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