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M-Testing Using Finite and Infinite Dimensional Parameter Estimators

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  • White, Halbert
  • Hong, Yongmiao

Abstract

The m-testing approach provides a general and convenient framework in which to view and construct specification tests for econometric models. Previous m-testing frameworks only consider test statistics that involve finite dimensional parameter estimators and infinite dimensional parameter estimators affecting the limit distribution of the m-test statistics. In this paper we propose a new m-testing framework using both finite and infinite dimensional parameter estimators, where the latter may or may not affect the limit distribution of the m-test. This greatly extends the potential and flexibility of m-testing. The new m-testing framework can be used to test hypotheses on parametric, semiparametric and nonparametric models. Some examples are given to illustrate how to use it to develop new specification tests

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Bibliographic Info

Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt9qz123ng.

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Date of creation: 01 Jan 1999
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Handle: RePEc:cdl:ucsdec:qt9qz123ng

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Related research

Keywords: consistent specification test; infinite dimensional parameter; nonparametric estimation; m-testing;

References

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  1. Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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Cited by:
  1. Natercia Fortuna, 2004. "Local rank tests in a multivariate nonparametric relationship," Econometric Society 2004 North American Summer Meetings 446, Econometric Society.

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