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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• Consistent bootstrap tests of parametric regression functions
• Revisiting tests for neglected nonlinearity using artificial neural networks
• A note on variable selection in nonparametric regression with dependent data
• On the asymptotic efficiency of GMM
• Testing conditional independence via Rosenblatt transforms
• 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
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
• An alternative series based consistent model specification test
• Testing the correlated random coefficient model
• Dynamic misspecification in nonparametric cointegrating regression
• A flexible nonparametric test for conditional independence
• On the lack of power of omnibus specification tests
• Generalized spectral tests for the martingale difference hypothesis
• Estimating simultaneous equations models by a simulation technique
• Functional form misspecification in regressions with a unit root
• NONPARAMETRIC SIGNIFICANCE TESTING IN MEASUREMENT ERROR MODELS
• Nonparametric checks for single-index models
• Optimal transportation and the falsifiability of incompletely specified economic models
• Testing semiparametric conditional moment restrictions using conditional martingale transforms
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
• On the Power of Bootstrapped Specification Tests
• A consistent test for nonlinear out of sample predictive accuracy.
• Some higher-order theory for a consistent non-parametric model specification test
• A single-blind controlled competition among tests for nonlinearity and chaos
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• A simple framework for nonparametric specification testing
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• A low-dimension portmanteau test for non-linearity
• 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
• A consistent nonparametric test for nonlinear causality -- specification in time series regression
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• Testing competing models for non-negative data with many zeros
• Tests for price endogeneity in differentiated product models
• Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
• Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
• A test for independence based on the correlation dimension
• The Bierens test under data dependence
• Inference on endogenously censored regression models using conditional moment inequalities
• Specification tests for the propensity score
• Artificial neural networks: an econometric perspective^∗
• Moment condition tests for heavy tailed time series
• A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Nonparametric tests for model selection with time series data
• Testing for separability in structural equations
• A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
• A consistent test of functional form via nonparametric estimation techniques
• Breaking the curse of dimensionality in nonparametric testing
• Testing for discrete choice models
• Unified approach to testing functional hypotheses in semiparametric contexts
• Specification test for panel data models with interactive fixed effects
• Testing linearity using power transforms of regressors
• A note on testing the regression functions via nonparametric smoothing
• Testing for unobserved heterogeneity in exponential and Weibull duration models
• Testing single-index restrictions with a focus on average derivatives
• A consistent characteristic function-based test for conditional independence
• A model selection method for S‐estimation
• Consistent specification testing for conditional moment restrictions
• Consistent nonparametric hypothesis tests with an application to Slutsky symmetry
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
• Bias corrections in testing and estimating semiparametric, single index models
• On the performance of nonparametric specification tests in regression models
• Smooth varying-coefficient estimation and inference for qualitative and quantitative data
• Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
• Consistent model specification tests for time series econometric models
• A simple consistent bootstrap test for a parametric regression function
• Testing Additive Separability of Error Term in Nonparametric Structural Models
• Testing conditional moment restrictions
• Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method
• Testing for neglected nonlinearity using extreme learning machines
• Uniform calibration tests for forecasting systems with small lead time
• Testing goodness-of-fit for nonlinear regression models with heterogeneous variances
• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
• Regularized GMM for time-varying models with applications to asset pricing
• Testing treatment effect heterogeneity in regression discontinuity designs
• A projection-based consistent test incorporating dimension-reduction in partial linear models
• A Unified Framework for Specification Tests of Continuous Treatment Effect Models
• A Review on Dimension-Reduction Based Tests For Regressions
• Editorial: Causality, prediction, and specification analysis: recent advances and future directions
• A linear approximation to the wild bootstrap in specification testing
• Testing for lack-of-fit in functional regression models against general alternatives
• INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
• Model diagnostics of parametric Tobit model based on cumulative residuals
• Statistical analysis of discrete-valued time series using categorical ARMA models
• Specification Test for Spatial Autoregressive Models
• Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
• 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
• A simple yet powerful test for assessing goodness-of-fit of high-dimensional linear models

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