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

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Author Info
Jonathan Hill () (Department of Economics, Florida International University)

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Abstract

We develop a consistent conditional moment test of Lp-best predictor functional form, 1
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File URL: http://www.fiu.edu/orgs/economics/wp2006/06-08.pdf
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File Function: First version, 2006
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Publisher 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
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Web page: http://www.fiu.edu/orgs/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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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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  1. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October. [Downloadable!] (restricted)
    Other versions:
  2. 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. [Downloadable!] (restricted)
  3. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
    Other versions:
  4. 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. [Downloadable!] (restricted)
  5. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32. [Downloadable!] (restricted)
  6. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March. [Downloadable!] (restricted)
    Other versions:
  7. 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. [Downloadable!] (restricted)
  8. repec:cup:etheor:v:8:y:1992:i:4:p:435-51 is not listed on IDEAS
  9. 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, Yale University. [Downloadable!]
  10. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November. [Downloadable!] (restricted)
  11. de Jong, Robert & Han, Chirok, 2002. "THE PROPERTIES OF Lp-GMM ESTIMATORS," Econometric Theory, Cambridge University Press, vol. 18(02), pages 491-504, May. [Downloadable!]
  12. 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. [Downloadable!] (restricted)
  13. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
    Other versions:
  14. Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December. [Downloadable!] (restricted)
  15. Bierens, Herman J., 1987. "Armax model specification testing, with an application to unemployment in the Netherlands," Journal of Econometrics, Elsevier, vol. 35(1), pages 161-190, May. [Downloadable!] (restricted)
  16. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
  17. Jonathan B. Hill, 2004. "Strong Orthogonal Decompositions and Non-Linear Impulse Response Functions for Infinite Variance Processes," Econometrics 0401001, EconWPA, revised 22 Apr 2004. [Downloadable!]
    Other versions:
  18. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October. [Downloadable!] (restricted)
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