Tests of specification for parametric and semiparametric models

DOI10.1016/0304-4076(93)90068-GzbMath0786.62029OpenAlexW2013705774MaRDI QIDQ1801421

Donald W. K. Andrews, Yoon-Jae Whang

Publication date: 26 April 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90068-g

zbMATH Keywords

time seriessemiparametric modelsspecification testssample selection modelsstochastic equicontinuitycross-sectional contextssemiparametric partially linear regressionweak convergence of normalized sums of stochastic processes

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Parametric inference (62F99)

Related Items (27)

Nonparametric estimation and testing of fixed effects panel data models ⋮ Checking the adequacy of partial linear models with missing covariates at random ⋮ Semiparametric estimation of partially linear panel data models ⋮ A goodness-of-fit test for parametric and semi-parametric models in multiresponse regression ⋮ Structural test in regression on functional variables ⋮ Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors ⋮ Testing conditional moment restrictions ⋮ Nonparametric tests for model selection with time series data ⋮ Consistent specification test for partially linear models with the k-nearest-neighbor method ⋮ A simple test for a parametric single index model. ⋮ Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗ ⋮ Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models ⋮ On Semiparametric EV Models with Serially Correlated Errors in Both Regression Models and Mismeasured Covariates ⋮ Goodness-of-fit tests for kernel regression with an application to option implied volatilities ⋮ Bootstrap non-parametric significance test ⋮ Model checking for partially linear models with missing responses at random ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models ⋮ Editorial. Moment restriction-based econometric methods: an overview ⋮ Hedonic price index estimation under mean‐independence of time dummies from quality characteristics ⋮ PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS ⋮ Testing for conditional heteroskedasticity with misspecified alternative hypotheses ⋮ Two-step generalised empirical likelihood inference for semiparametric models ⋮ The union/non-union wage differential: an application of semi-parametric methods ⋮ Consistent bootstrap tests of parametric regression functions ⋮ Consistent model specification tests for time series econometric models ⋮ A simple consistent bootstrap test for a parametric regression function ⋮ Dealing with bottled water expenditures data with zero observations: A semiparametric specification

Uses Software

• nlmdl

Cites Work

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