Maximum Likelihood Specification Testing and Conditional Moment Tests
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- scientific article; zbMATH DE number 3923929
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(only showing first 100 items - show all)- Generalized method of moments specification testing
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- Testing for conditional heteroskedasticity with misspecified alternative hypotheses
- Distribution-free estimation of the random coefficient dummy endogenous variable model
- Consistent model specification tests for time series econometric models
- A simple consistent bootstrap test for a parametric regression function
- Distribution-free estimation of some nonlinear panel data models
- Specification test for binary choice models based on index quantiles
- Specification diagnostics for duration models. A martingale approach
- Specification tests in simultaneous equations systems
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- Moment redundancy test with application to efficiency-improving copulas
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- A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
- Consistent nonparametric hypothesis tests with an application to Slutsky symmetry
- Recent developments in the econometrics of structural change
- Specification testing in Markov-switching time-series models
- The Bierens test under data dependence
- Some results on the Glejser and Koenker tests for heteroskedasticity
- Misspecification tests and their uses in econometrics
- Specification test for a linear regression model with ARCH process
- Estimation of a censored regression panel data model using conditional moment restrictions efficiently
- A simple framework for nonparametric specification testing
- Efficient estimation of binary choice models under symmetry
- Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
- Projection-based consistent test for linear regression model with missing response and covariates
- The \(k\)th power expectile regression
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Asymptotic variance of test statistics in the ML and QML frameworks
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- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Quantiles via moments
- Testing the fit of the logistic model for matched case-control studies
- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- Integrated conditional moment test for partially linear single index models incorporating dimension-reduction
- Sequential estimation of shape parameters in multivariate dynamic models
- A simple test for a parametric single index model.
- Editorial: Misspecification test methods in econometrics
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- Testing for heteroskedasticity in fixed effects models
- Efficient estimation and stratified sampling
- A test for bivariate normality with applications in microeconometric models
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- Inverse probability weighted estimation for general missing data problems
- On specification testing of ordered discrete choice models
- Examining bias in estimators of linear rational expectations models under misspecification
- A long-run pure variance common features model for the common volatilities of the Dow Jones
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- GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
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- A note on testing the regression functions via nonparametric smoothing
- GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
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- Testing competing models for non-negative data with many zeros
- Tests for price endogeneity in differentiated product models
- Survival in the U.S. Petroleum refining industry
- A Note on Influence Assessment in Score Tests
- On the lack of power of omnibus specification tests
- Evaluating specification tests for Markov-switching time-series models
- DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
- FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
- New derivations of the maximum likelihood estimator and the likelihood ratio test
- Basic structure of the asymptotic theory in dynamic nonlinear econometric models
- Amemiya‘s generalized least squares and tests of overidentification in simultaneous equation models with qualitative or limited dependent variables
- Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
- Likelihood Ratio Specification Tests
- Tests for serial correlation and overdispersion in a count data regression model∗
- A test of the normality assumption in ordered probit model
- Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
- Specification tests in ordered logit and probit models
- A generalized‐moments specification test for the logistic link
- A comparison of LS/ML and GMM estimation in a simple AR(1) model
- Asymptotic expansions and the reliability of tests in accelerated failure time models
- Estimation of long-run inefficiency levels: a dynamic frontier approach
- The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power
- A bootstrap test for single index models
- Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
- ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
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- Inference in dynamic discrete choice problems under local misspecification
- Artificial neural networks: an econometric perspective∗
- A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
- On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives
- A general approach to conditional moment specification testing with projections
- Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality
- Centered-residuals-based moment estimator and test for stochastic frontier models
- Consistent GMM residuals-based tests of functional form
- Specification tests for non-Gaussian maximum likelihood estimators
- Testing heteroscedasticity in nonlinear and nonparametric regressions
- Moment condition tests for heavy tailed time series
- Smooth Goodness-of-Fit Specification Tests Under the Lagrange Multiplier Principle
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