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Neyman's Smooth Test And Its Use In Econometrics, Anil K. Bera, Aurobindo Ghosh

Research Collection School Of Economics

The following essay is a reappraisal of the role of the smooth test proposed by Neyman (1937) in the context of current applications in econometrics. We revisit the derivation of the smooth test and put it into the perspective of the existing literature on tests based on probability integral transforms suggested by early pioneers such as R.A.Fisher (1930, 1932) and Karl Pearson (1933, 1934) and the other tests for goodness-of-fit. Our discussion touches data-driven and other methods of testing and inference on the order of the smooth test and the motivation and choice of orthogonal polynomials used by Neyman and …