A Consistent Conditional Moment Test of Functional Form

DOI10.2307/2938323MaRDI QIDQ3979446zbMATH OpenOpenAlexFDO

Authors Herman J. Bierens

Publication date 26 June 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/97174746e3f2e33eac122a5b6e30a2db7554813f

zbMATH Keywords

consistencymoment conditionschi-square testMonte Carlo simulationconditional expectationconditional moment test of functional formmisspecification of functional formquick-and-easy procedure

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) General nonlinear regression (62J02)

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• A flexible nonparametric test for conditional independence
• Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
• A test for independence based on the correlation dimension
• The Bierens test under data dependence
• Specification test for panel data models with interactive fixed effects
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Testing linearity using power transforms of regressors
• Nonparametric checks for single-index models
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Generalized spectral tests for the martingale difference hypothesis
• Testing the correlated random coefficient model
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• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• Optimal transportation and the falsifiability of incompletely specified economic models
• A model selection method for S‐estimation
• Moment condition tests for heavy tailed time series
• Consistent bootstrap tests of parametric regression functions
• Testing additive separability of error term in nonparametric structural models
• A note on testing the regression functions via nonparametric smoothing
• Inference on endogenously censored regression models using conditional moment inequalities
• A consistent test for nonlinear out of sample predictive accuracy.
• Consistent specification testing for conditional moment restrictions
• Nonparametric tests for model selection with time series data
• A low-dimension portmanteau test for non-linearity
• Bias corrections in testing and estimating semiparametric, single index models
• Generalized runs tests for the IID hypothesis
• Editorial. Moment restriction-based econometric methods: an overview
• Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
• Consistent nonparametric hypothesis tests with an application to Slutsky symmetry
• Estimating simultaneous equations models by a simulation technique
• Testing semiparametric conditional moment restrictions using conditional martingale transforms
• Some higher-order theory for a consistent non-parametric model specification test
• Testing the Martingale Difference Hypothesis
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• A consistent characteristic function-based test for conditional independence
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Nonparametric significance testing in measurement error models
• Revisiting tests for neglected nonlinearity using artificial neural networks
• A note on variable selection in nonparametric regression with dependent data
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• Stock market's reaction to money supply: a nonparametric analysis
• On the Power of Bootstrapped Specification Tests
• Testing competing models for non-negative data with many zeros
• Tests for price endogeneity in differentiated product models
• Testing for separability in structural equations
• Unified approach to testing functional hypotheses in semiparametric contexts
• Testing conditional moment restrictions
• Testing for unobserved heterogeneity in exponential and Weibull duration models
• Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
• Testing single-index restrictions with a focus on average derivatives
• Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
• Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method
• Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
• Consistent model specification tests for time series econometric models
• An alternative series based consistent model specification test
• VAR forecasting under misspecification
• Artificial neural networks: an econometric perspective^∗
• A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
• A simple consistent bootstrap test for a parametric regression function
• A single-blind controlled competition among tests for nonlinearity and chaos
• Functional form misspecification in regressions with a unit root
• Testing conditional independence via Rosenblatt transforms
• Dynamic misspecification in nonparametric cointegrating regression
• A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• Validation tests for semi-parametric models
• Testing for treatment dependence of effects of a continuous treatment
• Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
• A simple yet powerful test for assessing goodness-of-fit of high-dimensional linear models
• Nonlinearity tests in time series analysis
• Testing for neglected nonlinearity using artificial neural networks with many randomized hidden unit activations
• Tests of additional conditional moment restrictions
• Recognizing changing seasonal patterns using artificial neural networks
• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
• Testing the martingale difference hypothesis in high dimension
• A projection-based consistent test incorporating dimension-reduction in partially linear models
• Adjustments of Rao's score test for distributional and local parametric misspecifications
• Stochastically weighted average conditional moment tests of functional form
• Trinity tests of functions for conditional moment models
• A simple bootstrap test for time series regression models
• Specification testing for conditional moment restrictions under local identification failure
• Semiparametric tests of conditional moment restrictions under weak or partial identification
• LM Test of Neglected Correlated Random Effects and Its Application
• Constructing smooth tests without estimating the eigenpairs of the limiting process
• Testing for neglected nonlinearity using extreme learning machines
• Fixed‐effects binary choice models with three or more periods
• Specification Test for Spatial Autoregressive Models
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• Regularized GMM for time-varying models with applications to asset pricing
• Misspecification Testing in a Class of Conditional Distributional Models

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