Stochastically weighted average conditional moment tests of functional form

DOI10.1515/SNDE-2012-0019MaRDI QIDQ5881678zbMATH OpenOpenAlexFDO

Authors Jonathan B. Hill

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0019

zbMATH Keywords

consistent conditional moment testnonlinear regression modelsweighted average test

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Consistent Conditional Moment Test of Functional Form
• A consistent test for the functional form of a regression based on a difference of variance estimators
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• Comparing nonparametric versus parametric regression fits
• Consistent GMM residuals-based tests of functional form
• Consistent model specification tests
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• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Consistent Specification Testing Via Nonparametric Series Regression
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
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Cited in

(6)

• Trinity tests of functions for conditional moment models
• Weighted KS statistics for inference on conditional moment inequalities
• A Consistent Conditional Moment Test of Functional Form
• OPTIMALITY FOR THE INTEGRATED CONDITIONAL MOMENT TEST
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• A smoothed \(p\)-value test when there is a nuisance parameter under the alternative

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