Asymptotic Theory of Integrated Conditional Moment Tests

DOI10.2307/2171881zbMATH Open0927.62085OpenAlexW2109035959MaRDI QIDQ4359767FDOQ4359767

Authors: Herman J. Bierens, Werner Ploberger 

Publication date: 14 December 1999

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e9da5dde700b9dd90e6154a77000a6131aa4178b

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zbMATH Keywords

conditional moment testtime series modelsneural networksadmissibilitylocal powertest of functional form

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cited In (only showing first 100 items - show all)

• Nonparametric model check based on local polynomial fitting
• Consistent bootstrap tests of parametric regression functions
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• The Bierens test for certain nonstationary models
• Testing the Martingale Difference Hypothesis
• Significance testing in nonparametric regression based on the bootstrap.
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
• Testing the correlated random coefficient model
• ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
• On the lack of power of omnibus specification tests
• Smooth coefficient estimation of a seemingly unrelated regression
• Integrated conditional moment test for partially linear single index models incorporating dimension-reduction
• Generalized spectral tests for the martingale difference hypothesis
• Inference theory for volatility functional dependencies
• Specification testing for transformation models with an application to generalized accelerated failure-time models
• Set identification of the censored quantile regression model for short panels with fixed effects
• NONPARAMETRIC SIGNIFICANCE TESTING IN MEASUREMENT ERROR MODELS
• Nonparametric checks for single-index models
• Testing semiparametric conditional moment restrictions using conditional martingale transforms
• Joint and marginal specification tests for conditional mean and variance models
• Combining inflation density forecasts
• Nonparametric tests for conditional symmetry
• On the Power of Bootstrapped Specification Tests
• Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View
• A consistent test for nonlinear out of sample predictive accuracy.
• Some higher-order theory for a consistent non-parametric model specification test
• Degenerate \(U\)- and \(V\)-statistics under ergodicity: asymptotics, bootstrap and applications in statistics
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• A simple framework for nonparametric specification testing
• Testing the martingale difference hypothesis in high dimension
• A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE
• Generalized runs tests for the IID hypothesis
• A consistent nonparametric test for nonlinear causality -- specification in time series regression
• Stock market's reaction to money supply: a nonparametric analysis
• Asymptotic distribution of test statistics in the analysis of moment structures under inequality constraints
• Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
• Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗
• The Bierens test under data dependence
• Specification tests for the propensity score
• Powerful nonparametric checks for quantile regression
• A martingale-difference-divergence-based test for specification
• The reaction of stock market returns to unemployment
• Infrastructure and productivity: A nonlinear approach
• Uniform nonparametric inference for time series
• Estimation and hypothesis test for partial linear single-index multiplicative models
• A consistent nonparametric test for linearity of \(\text{AR} (p)\) models
• A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
• A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS
• Nonparametric tests for model selection with time series data
• Uniform convergence of series estimators over function spaces
• Testing for separability in structural equations
• A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
• Breaking the curse of dimensionality in nonparametric testing
• Unified approach to testing functional hypotheses in semiparametric contexts
• Testing linearity using power transforms of regressors
• A consistent model specification test with mixed discrete and continuous data
• Bootstrap non-parametric significance test
• Testing Conditional Independence Restrictions
• OPTIMALITY FOR THE INTEGRATED CONDITIONAL MOMENT TEST
• A consistent nonparametric test of parametric regression functional form in fixed effects panel data models
• A model selection method for S‐estimation
• Testing and imposing Slutsky symmetry in nonparametric demand systems
• Consistent specification testing for conditional moment restrictions
• Testing additivity in generalized nonparametric regression models with estimated parameters
• 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
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• On the performance of nonparametric specification tests in regression models
• Testing the martingale difference hypothesis using integrated regression functions
• Testing the link when the index is semiparametric -- a comparative study
• 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
• A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION
• Fourier–type tests involving martingale difference processes
• Testing treatment effect heterogeneity in regression discontinuity designs
• Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
• Testing distributional assumptions using a continuum of moments
• A projection-based consistent test incorporating dimension-reduction in partial linear models
• A Unified Framework for Specification Tests of Continuous Treatment Effect Models
• Editorial: Causality, prediction, and specification analysis: recent advances and future directions
• A linear approximation to the wild bootstrap in specification testing
• A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS
• A Projection-Based Nonparametric Test of Conditional Quantile Independence
• INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
• Model diagnostics of parametric Tobit model based on cumulative residuals
• Projection-based consistent test for linear regression model with missing response and covariates
• Statistical analysis of discrete-valued time series using categorical ARMA models
• Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
• Consistent test for parametric models with right-censored data using projections
• Stochastically weighted average conditional moment tests of functional form
• TESTING GARCH-X TYPE MODELS
• Two‐stage U‐statistics for Hypothesis Testing
• Identification-robust nonparametric inference in a linear IV model
• Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
• Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes

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