A Consistent Conditional Moment Test of Functional Form

DOI10.2307/2938323zbMATH Open0737.62058OpenAlexW2107158342MaRDI QIDQ3979446FDOQ3979446

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

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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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• INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
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• Model diagnostics of parametric Tobit model based on cumulative residuals
• Statistical analysis of discrete-valued time series using categorical ARMA models
• Consistent GMM residuals-based tests of functional form
• Specification Test for Spatial Autoregressive Models
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• Stochastically weighted average conditional moment tests of functional form
• An adaptive-to-model test for partially parametric single-index models
• Identification-robust nonparametric inference in a linear IV model
• Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
• Testing the martingale difference hypothesis in high dimension
• LM Test of Neglected Correlated Random Effects and Its Application
• Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
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• Testing for strict stationarity via the discrete Fourier transform
• Goodness-of-fit tests in semiparametric transformation models using the integrated regression function
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• A scalable nonparametric specification testing for massive data
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• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• Testing the Martingale Difference Hypothesis
• VAR forecasting under misspecification
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• Testing the correlated random coefficient model
• Dynamic misspecification in nonparametric cointegrating regression
• A flexible nonparametric test for conditional independence
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• Testing additive separability of error term in nonparametric structural models
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• Functional form misspecification in regressions with a unit root
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