Consistent Specification Testing Via Nonparametric Series Regression
From MaRDI portal
Publication:4859505
DOI10.2307/2171724zbMath0941.62125OpenAlexW2050582186MaRDI QIDQ4859505
Publication date: 2 August 2000
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171724
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08)
Related Items
A note on variable selection in nonparametric regression with dependent data, Stochastically weighted average conditional moment tests of functional form, Two-step series estimation and specification testing of (partially) linear models with generated regressors, Specification testing for regression models with dependent data, Non-linearity tests based on order statistics and quantile regressions, Bayesian variants of some classical semiparametric regression techniques, A specification test for the propensity score using its distribution conditional on participation, ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES, Consistent model specification tests based on \(k\)-nearest-neighbor estimation method, Adaptive testing using data-driven method selecting smoothing parameters, Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks, Tests of additional conditional moment restrictions, Testing Conditional Independence Restrictions, Consistent GMM Residuals-Based Tests of Functional Form, A loss function approach to model specification testing and its relative efficiency, Testing for the presence of jump components in jump diffusion models, Nonparametric Tests for the Effect of a Treatment on the Conditional Variance, A modified bootstrap for kernel-based specification test with heavy-tailed data, Time-invariant restrictions of volatility functionals: efficient estimation and specification tests, An alternative series based consistent model specification test, Nonparametric pseudo-Lagrange multiplier stationarity testing, Testing for discrete choice models, A smoothed \(p\)-value test when there is a nuisance parameter under the alternative, Fixed‐effects binary choice models with three or more periods, Testing many restrictions under heteroskedasticity, Empirical likelihood estimation and consistent tests with conditional moment restrictions, SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION, Nonparametric specification testing via the trinity of tests, A consistent model specification test with mixed discrete and continuous data, A robust test of specification based on order statistics, Testing conditional moment restrictions, Nonparametric tests for model selection with time series data, INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS, A simple framework for nonparametric specification testing, Estimating effort function with semiparametric model, Consistent specification test for partially linear models with the k-nearest-neighbor method, Nonparametric bootstrap tests for neglected nonlinearity in time series regression models∗, Testing the goodness of fit of a linear model by kernel regression, Inference in regression models with many regressors, Specification test for Markov models with measurement errors, Estimation and inference in partially linear models with smoothing splines, Parametric and nonparametric models and methods in financial econometrics, A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION, A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS, Breaking the curse of dimensionality in nonparametric testing, Testing additivity in generalized nonparametric regression models with estimated parameters, A simple bootstrap test for time series regression models, Testing new better than used classes of life distributions derived from a convex ordering using kernel methods*, Goodness-of-fit tests for kernel regression with an application to option implied volatilities, Bootstrap non-parametric significance test, A consistent nonparametric test of parametric regression functional form in fixed effects panel data models, Testing the Martingale Difference Hypothesis, Central limit theorems for generalizedU-statistics with applications in nonparametric specification, Nonparametric model validations for hidden Markov models with applications in financial econometrics, A consistent nonparametric test for nonlinear causality -- specification in time series regression, A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS, GMM inference when the number of moment conditions in large, Measuring Firm Performance By Using Linear and Non-Parametric Quantile Regressions, A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS, A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS, Empirically relevant critical values for hypothesis tests: A bootstrap approach, On nonparametric and semiparametric testing for multivariate linear time series, A central limit theorem for a random quadratic form of strictly stationary processes, Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes, Data-driven portmanteau tests for time series, Consistent bootstrap tests of parametric regression functions, Measuring the Discrepancy of a Parametric Model via Local Polynomial Smoothing, Consistent model specification tests for time series econometric models, A simple consistent bootstrap test for a parametric regression function, Adaptive parametric test in a semiparametric regression model, A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS, A joint test for parametric specification and independence in nonlinear regression models, Backtesting expected shortfall and beyond, Goodness-of-fit tests based on series estimators in nonparametric instrumental regression, Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing, Testing Additive Separability of Error Term in Nonparametric Structural Models, Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes, Specification test for panel data models with interactive fixed effects, Model specification tests in nonparametric stochastic regression models, Some higher-order theory for a consistent non-parametric model specification test, Consistent specification tests for semiparametric/nonparametric models based on series estimation methods, Nonparametric specification tests for conditional duration models, Unified approach to testing functional hypotheses in semiparametric contexts