Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms

DOI10.2307/2171848zbMATH Open0854.62038OpenAlexW2109858684MaRDI QIDQ4895050FDOQ4895050

Authors: Yanqin Fan, Qi Li 

Publication date: 23 January 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171848

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zbMATH Keywords

kernel estimationcentral limit theorempartially linear modelsingle index modelnonparametric regression modelconsistent testsomitted variablesdegenerate \(U\)-statisticssemiparametric functional form

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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• Root-n-consistent semiparametric estimation of partially linear models for weakly dependent observations
• A Review on Dimension-Reduction Based Tests For Regressions
• Heteroscedasticity testing for regression models: a dimension reduction-based model adaptive approach
• Omnibus test for covariate effects in conditional copula models
• Dimension reduction-based significance testing in nonparametric regression
• Significance testing in quantile regression
• A powerful test for comparing multiple regression functions
• Testing normality using kernel methods
• Specification test for Markov models with measurement errors
• Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
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• A perspective on recent methods on testing predictability of asset returns
• A consistent nonparametric test for causality in quantile
• Stochastically weighted average conditional moment tests of functional form
• An adaptive-to-model test for partially parametric single-index models
• A coupled component DCS-EGARCH model for intraday and overnight volatility
• The effect of information technology and human capital on economic growth
• Nonparametric model validations for hidden Markov models with applications in financial econometrics
• Alternative approaches to testing by variable addition
• Asymptotic normality of a combined regression estimator
• Stock market's reaction to money supply: a nonparametric analysis
• Cross‐validation and non‐parametric k nearest‐neighbour estimation
• Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects
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• Partial identification and inference in censored quantile regression
• Characteristic function based testing for conditional independence: a nonparametric regression approach
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• Checking the adequacy of partial linear models with missing covariates at random
• Testing for the presence of jump components in jump diffusion models
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• Specification tests in semiparametric transformation models -- a multiplier bootstrap approach
• A consistent nonparametric test of parametric regression functional form in fixed effects panel data models
• Semiparametric tests of conditional moment restrictions under weak or partial identification
• Testing lack of fit of regression models under heteroscedasticity
• A simple bootstrap test for time series regression models
• Nonparametric specification testing via the trinity of tests
• Validation tests for semi-parametric models
• A joint test for parametric specification and independence in nonlinear regression models
• Testing conditional independence in casual inference for time series data
• Testing Missing at Random Using Instrumental Variables
• A Unified Framework for Specification Tests of Continuous Treatment Effect Models
• A Projection-Based Nonparametric Test of Conditional Quantile Independence
• Specification testing for ordinary differential equation models with fixed design and applications to COVID-19 epidemic models
• Single-index modelling of conditional probabilities in two-way contingency tables
• Inference on a semiparametric model with global power law and local nonparametric trends
• Specification testing of partially linear single-index models: a groupwise dimension reduction-based adaptive-to-model approach
• Consistent GMM residuals-based tests of functional form
• Specification Test for Spatial Autoregressive Models
• Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes
• Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors
• Significance test for semiparametric conditional average treatment effects and other structural functions
• Testing heteroskedasticity for predictive regressions with nonstationary regressors
• Testing the goodness of fit of a linear model by kernel regression
• Estimation of treatment effects under endogenous heteroskedasticity
• Consistent tests for semiparametric conditional independence
• Constructing smooth tests without estimating the eigenpairs of the limiting process
• Nonparametric inference for counterfactual means: bias-correction, confidence sets, and weak IV
• Tests of additional conditional moment restrictions
• MONEY GROWTH AND INFLATION IN THE UNITED STATES
• A conditional distribution function-based measure for independence and \(K\)-sample tests in multivariate data
• Nonparametric tests for semiparametric regression models
• Measuring the discrepancy of a parametric model via local polynomial smoothing
• Varying-coefficient spatial dynamic panel data models with fixed effects: theory and application
• Specification testing when the null is nonparametric or semiparametric
• Nonparametric tests for strategic interaction effects with rationalizability
• Semiparametric methods in applied econometrics: do the models fit the data?
• Semiparametric methods in nonlinear time series analysis: a selective review
• Adaptive-to-model checking for regressions with diverging number of predictors
• Measuring Granger Causality in Quantiles
• Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
• Double kernel nonparametric estimation in semlparametric econometric models
• A nonparametric \(R^2\) test for the presence of relevant variables
• Consistent bootstrap tests of parametric regression functions
• A note on variable selection in nonparametric regression with dependent data
• A significance test for covariates in nonparametric regression
• Nonparametric specification tests for conditional duration models
• Significance testing in nonparametric regression based on the bootstrap.
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• Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models
• Nonparametric state price density estimation using constrained least squares and the bootstrap
• A central limit theorem for a random quadratic form of strictly stationary processes
• A nonparametric test for poolability using panel data
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• Testing semiparametric conditional moment restrictions using conditional martingale transforms
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