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A Consistent Test Of Conditional Parametric Distributions

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  • Zheng, John Xu

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  • Zheng, John Xu, 2000. "A Consistent Test Of Conditional Parametric Distributions," Econometric Theory, Cambridge University Press, vol. 16(05), pages 667-691, October.
  • Handle: RePEc:cup:etheor:v:16:y:2000:i:05:p:667-691_16
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    References listed on IDEAS

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    1. Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 560-586, June.
    2. Brown, James N & Light, Audrey, 1992. "Interpreting Panel Data on Job Tenure," Journal of Labor Economics, University of Chicago Press, vol. 10(3), pages 219-257, July.
    3. repec:cup:etheor:v:11:y:1995:i:3:p:560-96 is not listed on IDEAS
    4. Hausman, J. A. & Abrevaya, Jason & Scott-Morton, F. M., 1998. "Misclassification of the dependent variable in a discrete-response setting," Journal of Econometrics, Elsevier, vol. 87(2), pages 239-269, September.
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    Cited by:

    1. Marcelo Fernandes & Breno Neri, 2010. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 276-306.
    2. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
    3. Febrer, Antonia & Mora, Juan, 2009. "Flexible estimation of wage distributions in the presence of covariates," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2189-2200, April.
    4. Fuchun Li & Greg Tkacz, 2001. "A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data," Staff Working Papers 01-21, Bank of Canada.
    5. Juan Mora & Antonia Febrer, 2005. "Wage Distribution In Spain, 1994-1999: An Application Of A Flexible Estimator Of Conditional Distributions," Working Papers. Serie EC 2005-04, Instituto Valenciano de Investigaciones Econ├│micas, S.A. (Ivie).
    6. Delgado, Miguel A. & Stute, Winfried, 2008. "Distribution-free specification tests of conditional models," Journal of Econometrics, Elsevier, vol. 143(1), pages 37-55, March.
    7. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, vol. 178(P1), pages 22-44.
    8. 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.
    9. Zheng, Xu, 2008. "Testing for discrete choice models," Economics Letters, Elsevier, vol. 98(2), pages 176-184, February.
    10. Wu, Edmond H.C. & Yu, Philip L.H. & Li, W.K., 2009. "A smoothed bootstrap test for independence based on mutual information," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2524-2536, May.
    11. Xu Zheng, 2012. "Testing parametric conditional distributions using the nonparametric smoothing method," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(4), pages 455-469, May.
    12. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
    13. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, June.
    14. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
    15. Bin Chen & Yongmiao Hong, 2013. "A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

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