A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS

DOI10.1017/S0266466614000644MaRDI QIDQ3450351zbMATH OpenOpenAlexFDO

Authors Manuel Domínguez, I. N. Lobato

Publication date 3 November 2015

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000644

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

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• scientific article; zbMATH DE number 3282382

Cites work

• Asymptotic Theory of Integrated Conditional Moment Tests
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Consistent model specification tests
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Nonparametric model checks for regression
• Nonparametric model checks for time series
• On the lack of power of omnibus specification tests
• Semiparametric estimation of the Box-Cox transformation model
• The Estimation of Economic Relationships using Instrumental Variables

Cited in

(3)

• Inference on conditional moment restriction models with generated variables
• On the lack of power of omnibus specification tests
• Specification testing with estimated variables

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