Sequential specification tests to choose a model: A change-point approach

Abstract

A researcher choosing between models ordered by some criterion may seek the best specification that satisfies a testable assumption. In this scenario, sequential specification tests (SSTs) are hypothesis tests of that assumption for each model in the sequence. We introduce a method using the p-values from SSTs to estimate the point in the sequence where the assumption ceases to hold. Unlike alternative approaches, this method is robust to individual errant p-values and does not require choosing a test level or tuning parameter. We demonstrate the method’s properties with a simulation study, and illustrate it by choosing a bandwidth in a regression discontinuity design and a lag order for a time series model.

Keywords:

• Model selection
• time series
• regression discontinuity designs

2010 Mathematics Subject Classification:

• 62-07

Notes

1 This very helpful citation was suggested by an anonymous reviewer.