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On The Lack Of Power Of Omnibus Specification Tests

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  • Escanciano, J. Carlos

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 01 (February)
Pages: 162-194

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Handle: RePEc:cup:etheor:v:25:y:2009:i:01:p:162-194_09

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Cited by:
  1. Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2010-43, School of Economics and Management, University of Aarhus.
  2. Escanciano, Juan Carlos & Velasco, Carlos, 2010. "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, vol. 159(1), pages 209-221, November.
  3. Juan Carlos Escanciano & Silvia Mayoral, . "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
  4. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
  5. Escanciano, Juan Carlos & Song, Kyungchul, 2010. "Testing single-index restrictions with a focus on average derivatives," Journal of Econometrics, Elsevier, vol. 156(2), pages 377-391, June.
  6. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014. "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, vol. 178(P1), pages 71-79.
  7. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  8. Sant'Anna, Pedro H. C., 2013. "Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy," MPRA Paper 48376, University Library of Munich, Germany.

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