Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications

DOI10.1016/J.CSDA.2008.05.016zbMATH Open1464.62065OpenAlexW2012537933MaRDI QIDQ962298FDOQ962298

David T. Jacho-Chávez, J. Carlos Escanciano

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.05.016

Recommendations

• Consistent specification testing for conditional moment restrictions
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• Von Mises approximation of the critical value of a test
• Sobre el Estadístico de Cramér–Von Mises
• scientific article; zbMATH DE number 1112444

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Functional data analysis (62R10)

Cites Work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Weak convergence and empirical processes. With applications to statistics
• Regression Quantiles
• Subsampling
• Nonparametric econometrics. Theory and practice.
• Comparing nonparametric versus parametric regression fits
• Nonparametric model checks for regression
• Nonparametric model checks for time series
• Nonlinear time series. Nonparametric and parametric methods
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• A Consistent Conditional Moment Test of Functional Form
• Asymptotic Theory of Integrated Conditional Moment Tests
• Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
• Consistent specification testing for conditional moment restrictions
• Consistent model specification tests
• A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
• A consistent test of functional form via nonparametric estimation techniques
• ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
• A consistent nonparametric test of parametric regression models under conditional quantile restrictions
• Methodology and convergence rates for functional linear regression
• Model specification testing of time series regressions
• The Bierens test under data dependence
• Consistent model specification tests. (Kernel-based tests versus Bierens' ICM tests)
• Testing the Martingale Difference Hypothesis
• Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
• DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
• Model checks using residual marked empirical processes
• Title not available (Why is that?)
• Specification tests of parametric dynamic conditional quantiles
• Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• A Non-Parametric Test of Exogeneity
• An Edgeworth expansion for the \(m\) out of \(n\) bootstrapped median
• Testing a Parametric Model Against a Nonparametric Alternative with Identification Through Instrumental Variables

Cited In (9)

• Editorial: Second special issue on statistical algorithms and software
• Testing for serial independence of panel errors
• A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions
• Title not available (Why is that?)
• On consistent minimax distinguishability and intermediate efficiency of Cramér--von Mises test
• An \(L_ 1\)-variant of the Cramér-von Mises test
• Von Mises approximation of the critical value of a test
• An approximation to the null distribution of a class of Cramér-von Mises statistics
• \(k\)-nearest neighbor estimation of inverse-density-weighted expectations with dependent data

Uses Software

• AS 155

This page was built for publication: Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q962298)