Super-Consistent Tests of Lp-Functional Form

This file is part of IDEAS, which uses RePEc data

Super-Consistent Tests of Lp-Functional Form

Author Info

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

Additional information is available for the following registered author(s):

Jonathan B. Hill

Abstract

This paper develops a consistent test of best Lp-predictor functional form for a time series process. By functionally relating two moment conditions with different nuisance parameters we are able to construct a vector moment condition in which at least one element must be non-zero under the alternative. Specifically, we provide a sufficient condition for moment conditions of the type characterized by Stinchcombe and White (1998) to reveal model mis-specification for any nuisance parameter value. When the sufficient condition fails an alternative moment condition is guaranteed to work. A simulation study clearly demonstrates the superiority of a randomized test: randonly selecting the nuisance parameter leads to more power than average- and supremum-test functionals, and obtains empirical power nearly equivelant to uniformly most powerful tests in most cases.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by Florida International University, Department of Economics in its series Working Papers with number 0610.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 19 pages
Date of creation: Sep 2006
Date of revision:
Handle: RePEc:fiu:wpaper:0610

Contact details of provider:
Postal: Miami, FL 33199
Phone: (305) 348-2316
Fax: (305) 348-1524
Web page: http://www.fiu.edu/orgs/economics/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Peter Thompson).

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

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-12-09 (All new papers)
NEP-ECM-2006-12-09 (Econometrics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November. [Downloadable!] (restricted)
Other versions:
- 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. [Downloadable!]
Bierens, H. & Ploberger, W., 1995. "Asymptotic theory of integrated conditional moment tests," Discussion Paper 124, Tilburg University, Center for Economic Research. [Downloadable!]
Other versions:
- Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.

Full references

Statistics
Access and download statistics

Did you know? You too can volunteer with RePEc.

This page was last updated on 2009-11-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.