OPTIMALITY FOR THE INTEGRATED CONDITIONAL MOMENT TEST

DOI10.1017/S026646669915504XMaRDI QIDQ4512710zbMATH OpenWikidataFDO

Authors Wm. Brent Boning, Fallaw B. Sowell

Publication date 1999

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S026646669915504X

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Asymptotic Theory of Integrated Conditional Moment Tests
• Stochastically weighted average conditional moment tests of functional form
• INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
• Testing conditional moment restrictions
• On the choice of test statistic for conditional moment inequalities

Cited in

(12)

• On the choice of test statistic for conditional moment inequalities
• A flexible nonparametric test for conditional independence
• On the lack of power of omnibus specification tests
• INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
• On the Asymptotic Efficiency of Directional Models Checks for Regression
• Stochastically weighted average conditional moment tests of functional form
• Testing for treatment dependence of effects of a continuous treatment
• A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
• Testing for separability in structural equations
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• Optimal Range for the iid Test Based on Integration Across the Correlation Integral
• Hodges-Lehmann optimality for testing moment conditions

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