Consistent specification tests for semiparametric/nonparametric models based on series estimation methods

DOI10.1016/S0304-4076(02)00198-7zbMATH Open1027.62027OpenAlexW2150197253MaRDI QIDQ1868971FDOQ1868971

Authors: Cheng Hsiao, Joel Zinn, Qi Li 

Publication date: 9 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00198-7

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zbMATH Keywords

Semiparametric modelsConsistent testsSeries estimationWild bootstrap

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

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Cited In (37)

• Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
• An alternative series based consistent model specification test
• A consistent bootstrap test for conditional density functions with time-series data
• Consistent specification test for partially linear models with the k-nearest-neighbor method
• Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
• Generalized likelihood ratio tests for the structure of semiparametric additive models
• Optimal testing for additivity in multiple nonparametric regression
• Generalized spectral tests for the martingale difference hypothesis
• A Unified Framework for Specification Tests of Continuous Treatment Effect Models
• Testing the Linear Mean and Constant Variance Conditions in Sufficient Dimension Reduction
• Testing the suitability of polynomial models in errors-in-variables problems
• Nonparametric tests for conditional symmetry in dynamic models
• Testing semiparametric conditional moment restrictions using conditional martingale transforms
• A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
• Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
• Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
• Stochastically weighted average conditional moment tests of functional form
• Some higher-order theory for a consistent non-parametric model specification test
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• Tests for price endogeneity in differentiated product models
• Testing for treatment dependence of effects of a continuous treatment
• Sieve instrumental variable quantile regression estimation of functional coefficient models
• A nonparametric poolability test for panel data models with cross section dependence
• Consistent Specification Testing Via Nonparametric Series Regression
• A nonparametric test of significant variables in gradients
• Conditional mean and quantile dependence testing in high dimension
• Testing for separability in structural equations
• A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
• Sieve estimation of panel data models with cross section dependence
• A consistent model specification test with mixed discrete and continuous data
• A bootstrap-assisted spectral test of white noise under unknown dependence
• Testing single-index restrictions with a focus on average derivatives
• Nonparametric estimation of mean-squared prediction error in nested-error regression models
• A simple bootstrap test for time series regression models
• Nonparametric specification testing via the trinity of tests
• Goodness-of-fit tests based on series estimators in nonparametric instrumental regression
• Testing for additivity in nonparametric heteroscedastic regression models

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