A general approach to conditional moment specification testing with projections

DOI10.1080/07474938.2015.1032165MaRDI QIDQ5034243zbMATHOpenAlexFDO

Authors Xuexin Wang

Publication date 24 February 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2015.1032165

zbMATH Keywords

efficient testsGARCH model specification testingconditional moment (CM) testestimation effect removal

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Distribution-free specification tests of conditional models
• Consistent specification testing for conditional moment restrictions
• Specification tests for nonlinear dynamic models
• Generalized method of moments specification testing
• Specification testing with estimated variables

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Cited in

(1)

• A new class of tests for overidentifying restrictions in moment condition models

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