A martingale-difference-divergence-based test for specification

DOI10.1016/J.ECONLET.2017.05.002MaRDI QIDQ1673555zbMATH OpenOpenAlexFDO

Authors Liangjun Su, Xin Zheng

Publication date 12 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/soe_research/2054

zbMATH Keywords

distance covarianceintegrated conditional moment testmartingale difference correlationmartingale difference divergencespecification test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A consistent characteristic function-based test for conditional independence
• A Consistent Conditional Moment Test of Functional Form
• A consistent test of functional form via nonparametric estimation techniques
• A flexible nonparametric test for conditional independence
• A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
• A simple consistent bootstrap test for a parametric regression function
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Asymptotic Theory of Integrated Conditional Moment Tests
• Asymptotic theory of nonlinear least squares estimation
• Brownian distance covariance
• Comparing nonparametric versus parametric regression fits
• Consistent model specification tests
• Consistent model specification tests. (Kernel-based tests versus Bierens' ICM tests)
• Feature screening via distance correlation learning
• Jackknife, bootstrap and other resampling methods in regression analysis
• Martingale difference correlation and its use in high-dimensional variable screening
• Measuring and testing dependence by correlation of distances
• Partial distance correlation with methods for dissimilarities
• Specification test for panel data models with interactive fixed effects
• Testing Conditional Independence Restrictions
• Testing conditional independence via empirical likelihood
• Testing conditional independence via Rosenblatt transforms

Cited in

(12)

• Testing the martingale difference hypothesis using integrated regression functions
• Spectral based testing of the martingale hypothesis
• A kernel-based measure for conditional mean dependence
• Martingale-difference-divergence-based tests for goodness-of-fit in quantile models
• A New Test of the Martingale Difference Hypothesis
• Novel specification tests for synchronous additive concurrent model formulation based on martingale difference divergence
• A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression
• Testing for strict stationarity via the discrete Fourier transform
• A test of U-type for goodness-of-fit in regression models through martingale difference divergence
• Kernel-based marginal testing for covariate effects in high-dimensional settings
• Inference in partially identified panel data models with interactive fixed effects
• A fast algorithm for computing martingale difference correlation

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