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Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form

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  • Jonathan Hill

    ()
    (Department of Economics, Florida International University)

Abstract

We develop a consistent conditional moment test of Lp-best predictor functional form, 1

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File URL: http://casgroup.fiu.edu/pages/docs/2244/1275230100_06-08.pdf
File Function: First version, 2006
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Bibliographic Info

Paper provided by Florida International University, Department of Economics in its series Working Papers with number 0608.

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Length: 36 pages
Date of creation: Jul 2006
Date of revision:
Handle: RePEc:fiu:wpaper:0608

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Postal: Miami, FL 33199
Phone: (305) 348-2316
Fax: (305) 348-1524
Web page: http://casgroup.fiu.edu/Economics/
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Related research

Keywords: nonlinear regression models; consistent conditional moment test; nuisance parameter-free test; Lp-best predictor;

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References

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  1. Marc Hallin & Faouzi El Bantli, 2001. "Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions," ULB Institutional Repository 2013/2105, ULB -- Universite Libre de Bruxelles.
  2. Jonathan B. Hill, 2004. "Strong Orthogonal Decompositions and Nonlinear Impulse Response Functions for Infinite-Variance Processes," Working Papers 0408, Florida International University, Department of Economics.
  3. Liebscher, Eckhard, 2003. "Strong convergence of estimators in nonlinear autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 84(2), pages 247-261, February.
  4. 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.
  5. Donald W.K. Andrews & Werner Ploberger, 1993. "Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative," Cowles Foundation Discussion Papers 1058, Cowles Foundation for Research in Economics, Yale University.
  6. Gallant, A. Ronald & Souza, Geraldo, 1991. "On the asymptotic normality of Fourier flexible form estimates," Journal of Econometrics, Elsevier, vol. 50(3), pages 329-353, December.
  7. repec:cup:etheor:v:8:y:1992:i:4:p:435-51 is not listed on IDEAS
  8. 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.
  9. Lai, P.Y. & Lee, Stephen M.S., 2005. "An Overview of Asymptotic Properties of Lp Regression Under General Classes of Error Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 446-458, June.
  10. Bierens, H.J., 1986. "Armax model specification testing, with an application to unemployment in the Netherlands," Serie Research Memoranda 0026, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  11. Russell DAVIDSON & James MacKINNON, 1991. "Une nouvelle forme du test de la matrice d'information," Annales d'Economie et de Statistique, ENSAE, issue 20-21, pages 171-192.
  12. Corradi, V. & Swanson, N.R., 2000. "A Consistent Test for Nonlinear Out of Sample Predictive Accuracy," Discussion Papers 0012, Exeter University, Department of Economics.
  13. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  14. Chirok HAN & Robert DE JONG, 2004. "Closest Moment Estimationunder General Conditions," Annales d'Economie et de Statistique, ENSAE, issue 74, pages 1-13.
  15. Bierens, H.J. & Ploberger, W., 1995. "Asymptotic theory of integrated conditional moment tests," Discussion Paper 1995-124, Tilburg University, Center for Economic Research.
  16. 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.
  17. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
  18. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  19. Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December.
  20. Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
  21. Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
  22. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
  23. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  24. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
  25. Arcones, Miguel A., 1996. "The Bahadur-Kiefer Representation of Lp Regression Estimators," Econometric Theory, Cambridge University Press, vol. 12(02), pages 257-283, June.
  26. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  27. de Jong, Robert & Han, Chirok, 2002. "THE PROPERTIES OF Lp-GMM ESTIMATORS," Econometric Theory, Cambridge University Press, vol. 18(02), pages 491-504, April.
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Cited by:
  1. Jonathan Hill, 2006. "Super-Consistent Tests of Lp-Functional Form," Working Papers 0610, Florida International University, Department of Economics.

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