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Consistent specification tests for semiparametric/nonparametric models based on series estimation methods

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  • Li, Qi
  • Hsiao, Cheng
  • Zinn, Joel

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 112 (2003)
Issue (Month): 2 (February)
Pages: 295-325

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Handle: RePEc:eee:econom:v:112:y:2003:i:2:p:295-325

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Donald W.K. Andrews, 1988. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Cowles Foundation Discussion Papers 874R, Cowles Foundation for Research in Economics, Yale University, revised May 1989.
  2. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
  3. Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 1998. "Nonparametric estimation and testing of interaction in additive models," SFB 373 Discussion Papers 1998,14, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  5. Lavergne, Pascal & Vuong, Quang H, 1996. "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, Econometric Society, vol. 64(1), pages 207-19, January.
  6. Lavergne, Pascal, 2001. "An equality test across nonparametric regressions," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 307-344, July.
  7. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  8. Ellison, G. & Ellison, F., 1993. "A Simple Framework for Non-Parametric Specification Testing," Harvard Institute of Economic Research Working Papers 1662, Harvard - Institute of Economic Research.
  9. Wooldridge, Jeffrey M., 1992. "A Test for Functional Form Against Nonparametric Alternatives," Econometric Theory, Cambridge University Press, vol. 8(04), pages 452-475, December.
  10. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
  11. Newey, W.K., 1992. "Kernel Estimation of Partial Means and a General Variance Estimator," Working papers 93-3, Massachusetts Institute of Technology (MIT), Department of Economics.
  12. Li, Qi, 2000. "Efficient Estimation of Additive Partially Linear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(4), pages 1073-92, November.
  13. Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December.
  14. Donald W.K. Andrews, 1996. "A Conditional Kolmogorov Test," Cowles Foundation Discussion Papers 1111R, Cowles Foundation for Research in Economics, Yale University.
  15. Linton, Oliver B., 2000. "Efficient Estimation Of Generalized Additive Nonparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 16(04), pages 502-523, August.
  16. Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
  17. Donald W.K. Andrews & Yoon-Jae Whang, 1989. "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality," Cowles Foundation Discussion Papers 925, Cowles Foundation for Research in Economics, Yale University.
  18. Opsomer, Jan & Ruppert, David, 1997. "Fitting a Bivariate Additive Model by Local Polynomial Regression," Staff General Research Papers 1071, Iowa State University, Department of Economics.
  19. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  20. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
  21. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
  22. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(03), pages 295-325, June.
  23. Horowitz, J. & Hardle, W., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Discussion Paper 1992-19, Tilburg University, Center for Economic Research.
  24. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
  25. Stephen G. Donald, 1997. "Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship," Econometrica, Econometric Society, vol. 65(1), pages 103-132, January.
  26. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
  27. Oliver Linton & E. Mammen & J. Nielsen, 1999. "The existence and asymptotic properties of a backfitting projection algorithm under weak conditions," LSE Research Online Documents on Economics 300, London School of Economics and Political Science, LSE Library.
  28. Delgado, Miguel A., 1993. "Testing the equality of nonparametric regression curves," Statistics & Probability Letters, Elsevier, vol. 17(3), pages 199-204, June.
  29. Robinson, P M, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 511-34, October.
  30. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, vol. 66(2), pages 289-314, March.
  31. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
  32. Lewbel, Arthur, 1995. "Consistent nonparametric hypothesis tests with an application to Slutsky symmetry," Journal of Econometrics, Elsevier, vol. 67(2), pages 379-401, June.
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Citations

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Cited by:
  1. Juan M. Rodríguez-Póo & Stefan Sperlich & Philippe Vieu, 2012. "A Practical Test for Misspecification in Regression: Functional Form, Separability and Distribution," Research Papers by the Department of Economics, University of Geneva 12093, Département des Sciences Économiques, Université de Genève.
  2. Manuel Vega-Gordillo & José Luis Álvarez-Arce, 2005. "Heterogeneity In Economic Freedom: Free Clusters Or Free Countries," Faculty Working Papers 08/05, School of Economics and Business Administration, University of Navarra.
  3. 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.
  4. Delgado, Miguel A. & Carlos Escanciano, J., 2007. "Nonparametric tests for conditional symmetry in dynamic models," Journal of Econometrics, Elsevier, vol. 141(2), pages 652-682, December.
  5. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  6. Juan Carlos Escanciano, 2004. "Model Checks Using Residual Marked Empirical Processes," Faculty Working Papers 13/04, School of Economics and Business Administration, University of Navarra.
  7. Felix Abramovich & Italia Feis & Theofanis Sapatinas, 2009. "Optimal testing for additivity in multiple nonparametric regression," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(3), pages 691-714, September.
  8. Juan Carlos Escanciano, 2005. "Goodness-of-fit Tests for Linear and Non-linear Time Series Models," Faculty Working Papers 02/05, School of Economics and Business Administration, University of Navarra.
  9. Milan Nedeljkovic & Branko Urosevic, 2011. "Determinants of the Dinar-Euro Nominal Exchange Rate," Working papers 18, National Bank of Serbia.
  10. J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers ws035212, Universidad Carlos III, Departamento de Estadística y Econometría.
  11. Jonathan B. Hill, 2004. "Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition Alternatives," Working Papers 0406, Florida International University, Department of Economics.
  12. Cheng Hsiao & Qi Li & Jeff Racine, 2006. "A Consistent Model Specification Test with Mixed Discrete and Continuous Data," IEPR Working Papers 06.47, Institute of Economic Policy Research (IEPR).
  13. Escanciano, J. Carlos, 2006. "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1030-1051, December.
  14. Shao, Xiaofeng, 2011. "A bootstrap-assisted spectral test of white noise under unknown dependence," Journal of Econometrics, Elsevier, vol. 162(2), pages 213-224, June.
  15. Kyoo il Kim & Amil Petrin, 2013. "Tests for Price Endogeneity in Differentiated Product Models," NBER Working Papers 19011, National Bureau of Economic Research, Inc.
  16. Su, Liangjun & Jin, Sainan, 2012. "Sieve estimation of panel data models with cross section dependence," Journal of Econometrics, Elsevier, vol. 169(1), pages 34-47.
  17. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
  18. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
  19. Nedeljković, Milan & Urošević, Branko, 2012. "Determinants of the Dinar-Euro Nominal Exchange Rate," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 121-141, September.
  20. Jonathan Hill, 2006. "Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form," Working Papers 0608, Florida International University, Department of Economics.

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