Asymptotic Theory of Integrated Conditional Moment Tests

DOI10.2307/2171881zbMath0927.62085OpenAlexW2109035959MaRDI QIDQ4359767

Herman J. Bierens, Werner Ploberger

Publication date: 14 December 1999

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e9da5dde700b9dd90e6154a77000a6131aa4178b

zbMATH Keywords

neural networksadmissibilitylocal powertime series modelstest of functional formconditional moment test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) General nonlinear regression (62J02)

Related Items (only showing first 100 items - show all)

Stochastically weighted average conditional moment tests of functional form ⋮ A smoothed \(p\)-value test when there is a nuisance parameter under the alternative ⋮ Testing the martingale difference hypothesis in high dimension ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ Model check by kernel methods under weak moment conditions. ⋮ Consistent specification testing for conditional moment restrictions ⋮ Testing additivity in generalized nonparametric regression models with estimated parameters ⋮ Goodness-of-fit tests for kernel regression with an application to option implied volatilities ⋮ Bootstrap non-parametric significance test ⋮ A Projection-Based Nonparametric Test of Conditional Quantile Independence ⋮ Testing Additive Separability of Error Term in Nonparametric Structural Models ⋮ Fourier–type tests involving martingale difference processes ⋮ Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes ⋮ Statistical analysis of discrete-valued time series using categorical ARMA models ⋮ On the Power of Bootstrapped Specification Tests ⋮ Generalized spectral tests for the martingale difference hypothesis ⋮ Inference theory for volatility functional dependencies ⋮ Model diagnostics of parametric Tobit model based on cumulative residuals ⋮ Joint and marginal specification tests for conditional mean and variance models ⋮ Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing ⋮ A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS ⋮ Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative ⋮ Testing and imposing Slutsky symmetry in nonparametric demand systems ⋮ Testing semiparametric conditional moment restrictions using conditional martingale transforms ⋮ Consistent model specification tests based on \(k\)-nearest-neighbor estimation method ⋮ TESTING FOR TREATMENT DEPENDENCE OF EFFECTS OF A CONTINUOUS TREATMENT ⋮ Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View ⋮ Powerful nonparametric checks for quantile regression ⋮ Adaptive testing using data-driven method selecting smoothing parameters ⋮ Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks ⋮ ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS ⋮ Tests for heteroskedasticity in transformation models ⋮ Consistent test for parametric models with right-censored data using projections ⋮ Testing Conditional Independence Restrictions ⋮ Consistent GMM Residuals-Based Tests of Functional Form ⋮ Goodness-of-fit tests in semiparametric transformation models using the integrated regression function ⋮ The Bierens test under data dependence ⋮ NONPARAMETRIC SIGNIFICANCE TESTING IN MEASUREMENT ERROR MODELS ⋮ A martingale-difference-divergence-based test for specification ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ Estimation and hypothesis test for partial linear single-index multiplicative models ⋮ A consistent nonparametric test for linearity of \(\text{AR} (p)\) models ⋮ Model checking for regressions: an approach bridging between local smoothing and global smoothing methods ⋮ Degenerate \(U\)- and \(V\)-statistics under ergodicity: asymptotics, bootstrap and applications in statistics ⋮ Testing for neglected nonlinearity using artificial neural networks with many randomized hidden unit activations ⋮ Stock market's reaction to money supply: a nonparametric analysis ⋮ The reaction of stock market returns to unemployment ⋮ A consistent model specification test with mixed discrete and continuous data ⋮ A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE ⋮ Testing conditional moment restrictions ⋮ Editorial: Causality, prediction, and specification analysis: recent advances and future directions ⋮ Testing for separability in structural equations ⋮ Specification testing for transformation models with an application to generalized accelerated failure-time models ⋮ Integrated conditional moment test for partially linear single index models incorporating dimension-reduction ⋮ Nonparametric tests for model selection with time series data ⋮ INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS ⋮ SMOOTH VARYING-COEFFICIENT ESTIMATION AND INFERENCE FOR QUALITATIVE AND QUANTITATIVE DATA ⋮ Testing distributional assumptions using a continuum of moments ⋮ Uniform nonparametric inference for time series ⋮ A simple framework for nonparametric specification testing ⋮ Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent ⋮ A linear approximation to the wild bootstrap in specification testing ⋮ UNIFORM CONVERGENCE OF SERIES ESTIMATORS OVER FUNCTION SPACES ⋮ ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS ⋮ Testing linearity using power transforms of regressors ⋮ Smooth coefficient estimation of a seemingly unrelated regression ⋮ Testing treatment effect heterogeneity in regression discontinuity designs ⋮ A projection-based consistent test incorporating dimension-reduction in partial linear models ⋮ Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗ ⋮ On the performance of nonparametric specification tests in regression models ⋮ Misspecification Testing in a Class of Conditional Distributional Models ⋮ Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method ⋮ Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications ⋮ Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity ⋮ A model selection method for S‐estimation ⋮ Two‐stage U‐statistics for Hypothesis Testing ⋮ TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS ⋮ A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION ⋮ A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS ⋮ Breaking the curse of dimensionality in nonparametric testing ⋮ A simple bootstrap test for time series regression models ⋮ Projection-based consistent test for linear regression model with missing response and covariates ⋮ A robust adaptive-to-model enhancement test for parametric single-index models ⋮ Combining inflation density forecasts ⋮ Nonparametric tests for conditional symmetry ⋮ Constructing smooth tests without estimating the eigenpairs of the limiting process ⋮ A consistent nonparametric test of parametric regression functional form in fixed effects panel data models ⋮ Testing the Martingale Difference Hypothesis ⋮ Set identification of the censored quantile regression model for short panels with fixed effects ⋮ Testing the correlated random coefficient model ⋮ The Bierens test for certain nonstationary models ⋮ Specification tests for the propensity score ⋮ Generalized runs tests for the IID hypothesis ⋮ A consistent nonparametric test for nonlinear causality -- specification in time series regression ⋮ Testing the martingale difference hypothesis using integrated regression functions ⋮ A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS ⋮ Testing the link when the index is semiparametric -- a comparative study ⋮ A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS ⋮ Nonparametric model check based on local polynomial fitting ⋮ TESTING GARCH-X TYPE MODELS

This page was built for publication: Asymptotic Theory of Integrated Conditional Moment Tests