CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE

DOI10.1017/S0266466698143013MaRDI QIDQ3365352zbMATH OpenOpenAlexWikidataFDO

Authors Maxwell B. Stinchcombe, Halbert White

Publication date 1998

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466698143013

zbMATH Keywords

rank testsnon-parametric tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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• Time-series estimation of the effects of natural experiments
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• Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
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• Breaking the curse of dimensionality in nonparametric testing
• An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
• Testing the significance of covariates in nonparametric regression without the curse of dimensionality
• Testing for discrete choice models
• Testing linearity using power transforms of regressors
• Sieve estimation of panel data models with cross section dependence
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• Specification test for panel data models with interactive fixed effects
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• A Gaussian process approach to model checks
• Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
• Testing single-index restrictions with a focus on average derivatives
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• Granger causality, exogeneity, cointegration, and economic policy analysis
• Varying coefficients partially linear models with randomly censored data
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• A model selection method for S‐estimation
• Testing the martingale difference hypothesis using integrated regression functions
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• Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory
• Multinomial probit estimation without nuisance parameters

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