Consistent Model Specification Tests
AbstractWe point out the close relationship between the integrated conditional moment tests in Bierens (1982, Journal of Econometrics 20, 105 134) and Bierens and Ploberger (1997, Econometrica 65, 1129 1152) with the complex-valued exponential weight function and the kernel-based tests in H rdle and Mammen (1993, Annals of Statistics 21, 1926 1947), Li and Wang (1998, Journal of Econometrics 87, 145 165), and Zheng (1996, Journal of Econometrics 75, 263 289). It is well established that the integrated conditional moment tests of Bierens (1982) and Bierens and Ploberger (1997) are more powerful than kernel-based nonparametric tests against Pitman local alternatives. In this paper we analyze the power properties of the kernel-based tests and the integrated conditional moment tests for a sequence of singular local alternatives, and show that the kernel-based tests can be more powerful than the integrated conditional moment tests for these singular local alternatives. These results suggest that integrated conditional moment tests and kernel-based tests should be viewed as complements to each other. Results from a simulation study are in agreement with the theoretical results.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 16 (2000)
Issue (Month): 06 (December)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:firstname.lastname@example.org
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If references are entirely missing, you can add them using this form.