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)

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

• Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity
• Consistent specification test for partially linear models with the k-nearest-neighbor method
• Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
• Semi-parametric classification of noisy curves
• 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
• Title not available (Why is that?)
• 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
• Adaptive testing using data-driven method selecting smoothing parameters
• Specification tests based on MCMC output
• Partial identification and inference in censored quantile regression
• Characteristic function based testing for conditional independence: a nonparametric regression approach
• A projection-based consistent test incorporating dimension-reduction in partially linear models
• Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
• Rationalization and identification of binary games with correlated types
• A consistent nonparametric test for linearity of \(\text{AR} (p)\) models
• Checking the adequacy of partial linear models with missing covariates at random
• Testing for the presence of jump components in jump diffusion models
• Analysis of kernel density estimation of functions of random variables
• Semiparametric Specification Testing of Non-nested Econometric Models
• Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
• The central limit theorem for degenerate variable \(U\)-statistics under dependence
• A modified bootstrap for kernel-based specification test with heavy-tailed data
• Specification test for panel data models with interactive fixed effects
• An asymptotic characterization of finite degree U-statistics with sample size-dependent kernels: applications to nonparametric estimators and test statistics
• 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
• 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.
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
• 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
• Nonparametric checks for single-index models
• Testing semiparametric conditional moment restrictions using conditional martingale transforms
• Guest editorial. Specification testing
• Specification testing for regression models with dependent data
• Identification and estimation of nonlinear models with misclassification error using instrumental variables: a general solution
• Fiscal policy and asset markets: a semiparametric analysis
• Specification testing in discretized diffusion models: theory and practice
• Semiparametric models with single-index nuisance parameters
• Regression discontinuity designs with unknown discontinuity points: testing and estimation
• Some higher-order theory for a consistent non-parametric model specification test
• A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS
• A flexible semiparametric forecasting model for time series
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Specification testing in nonparametric instrumental variable estimation
• A simple framework for nonparametric specification testing
• A consistent nonparametric test for nonlinear causality -- specification in time series regression
• Tests for price endogeneity in differentiated product models
• A note on the use of \(V\) and \(U\) statistics in nonparametric models of regression
• Goodness-of-fit tests for functional data
• Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗
• An ANOVA-type nonparametric diagnostic test for heteroscedastic regression models
• Specification tests for the propensity score
• A nonparametric poolability test for panel data models with cross section dependence
• A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
• Yet another look at the omitted variable bias
• Model specification tests in nonparametric stochastic regression models
• Testing independence by nonparametric kernel method
• A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS
• Nonparametric tests for model selection with time series data
• Parametric approximations of nonparametric frontiers
• A nonparametric specification test for the volatility functions of diffusion processes
• SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA
• Sieve empirical likelihood ratio tests for nonparametric functions
• Breaking the curse of dimensionality in nonparametric testing
• Testing for discrete choice models

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