A Consistent Conditional Moment Test of Functional Form
From MaRDI portal
It is shown that any conditional moment (CM) test of functional form of nonlinear regression models can be converted into a chi-square test that is consistent against all deviations from the null hypothesis (i.e. the model represents the conditional expectation of the dependent variable relative to the vector of regressors). The consistency of this test does not rely on randomization. In section 2, the consistent CM test is presented for a parametric family of probability distribution functions. In case of a finite set of moment conditions the test cannot be consistent against all possible alternatives. The use of an infinite set provides a solution of the consistency. In sections 3 and 4, on the base of two lemmas and five theorems, the conversion of a CM test into a consistent CM test is derived. A quick-and-easy procedure is given in theorem 5. In section 5 it is shown by a limited Monte Carlo simulation (500 replications) how the test performs in finite samples in the form of theorem 5. An interpretation of the results follows. Section 6 is concerned with the question what kind of information about the true model is provided by the test if the null hypothesis is rejected. The appendix contains the formal statements of the main assumptions and the proofs of the lemmas.
Recommendations
- A consistent test of functional form via nonparametric estimation techniques
- Stochastically weighted average conditional moment tests of functional form
- Consistent specification testing for conditional moment restrictions
- Trinity tests of functions for conditional moment models
- A consistent test of conditional parametric distributions
- Testing conditional moment restrictions
Cited in
(only showing first 100 items - show all)- Testing conditional independence via Rosenblatt transforms
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
- A single-blind controlled competition among tests for nonlinearity and chaos
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- Consistent model specification tests for time series econometric models
- A simple consistent bootstrap test for a parametric regression function
- Recognizing changing seasonal patterns using artificial neural networks
- Testing goodness-of-fit for nonlinear regression models with heterogeneous variances
- Testing conditional moment restrictions
- Specification tests for the propensity score
- Consistent bootstrap tests of parametric regression functions
- A note on variable selection in nonparametric regression with dependent data
- A martingale-difference-divergence-based test for specification
- Testing for neglected nonlinearity using artificial neural networks with many randomized hidden unit activations
- Testing treatment effect heterogeneity in regression discontinuity designs
- A robust adaptive-to-model enhancement test for parametric single-index models
- A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
- A consistent test for nonlinear out of sample predictive accuracy.
- Some higher-order theory for a consistent non-parametric model specification test
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Consistent nonparametric hypothesis tests with an application to Slutsky symmetry
- Estimating simultaneous equations models by a simulation technique
- The Bierens test under data dependence
- An alternative series based consistent model specification test
- Testing for discrete choice models
- Nonparametric tests for model selection with time series data
- A simple framework for nonparametric specification testing
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
- Estimation and inference of semiparametric models using data from several sources
- Uniform calibration tests for forecasting systems with small lead time
- Model diagnostics of parametric Tobit model based on cumulative residuals
- Adjustments of Rao's score test for distributional and local parametric misspecifications
- Trinity tests of functions for conditional moment models
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Testing for lack-of-fit in functional regression models against general alternatives
- A simple consistent test of conditional symmetry in symmetrically trimmed Tobit models
- Testing for a functional form of mean regression in a fully parametric environment
- Adaptive-to-model checking for regressions with diverging number of predictors
- A scalable nonparametric specification testing for massive data
- Specification test for panel data models with interactive fixed effects
- Statistical analysis of discrete-valued time series using categorical ARMA models
- An adaptive-to-model test for partially parametric single-index models
- Tests of additional conditional moment restrictions
- Goodness-of-fit tests in semiparametric transformation models using the integrated regression function
- Editorial: Causality, prediction, and specification analysis: recent advances and future directions
- Testing for separability in structural equations
- Constructing smooth tests without estimating the eigenpairs of the limiting process
- Nonparametric checks for single-index models
- Unified approach to testing functional hypotheses in semiparametric contexts
- Semiparametric tests of conditional moment restrictions under weak or partial identification
- Inference on endogenously censored regression models using conditional moment inequalities
- Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
- Testing semiparametric conditional moment restrictions using conditional martingale transforms
- Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
- VAR forecasting under misspecification
- Stock market's reaction to money supply: a nonparametric analysis
- Generalized spectral tests for the martingale difference hypothesis
- On the asymptotic efficiency of GMM
- A consistent characteristic function-based test for conditional independence
- Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
- A flexible nonparametric test for conditional independence
- Smooth varying-coefficient estimation and inference for qualitative and quantitative data
- Bias corrections in testing and estimating semiparametric, single index models
- Revisiting tests for neglected nonlinearity using artificial neural networks
- A note on testing the regression functions via nonparametric smoothing
- Testing competing models for non-negative data with many zeros
- Tests for price endogeneity in differentiated product models
- On the Power of Bootstrapped Specification Tests
- Functional form misspecification in regressions with a unit root
- Testing for neglected nonlinearity using extreme learning machines
- A linear approximation to the wild bootstrap in specification testing
- Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
- Testing for treatment dependence of effects of a continuous treatment
- Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
- On the lack of power of omnibus specification tests
- Nonlinearity tests in time series analysis
- DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
- Basic structure of the asymptotic theory in dynamic nonlinear econometric models
- A test for independence based on the correlation dimension
- Testing the Martingale Difference Hypothesis
- A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
- Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
- A Review on Dimension-Reduction Based Tests For Regressions
- A simple bootstrap test for time series regression models
- Artificial neural networks: an econometric perspective∗
- Misspecification Testing in a Class of Conditional Distributional Models
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
- Testing linearity using power transforms of regressors
- A general approach to conditional moment specification testing with projections
- Consistent GMM residuals-based tests of functional form
- Nonparametric significance testing in measurement error models
- A projection-based consistent test incorporating dimension-reduction in partially linear models
- Chi-Square Diagnostic Tests for Econometric Models: Theory
- Validation tests for semi-parametric models
- Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method
- Dynamic misspecification in nonparametric cointegrating regression
- Moment condition tests for heavy tailed time series
- Testing single-index restrictions with a focus on average derivatives
- INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
- A model selection method for S‐estimation
This page was built for publication: A Consistent Conditional Moment Test of Functional Form
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3979446)
