IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Consistent Model Specification Tests

  • Fan, Yanqin
  • Li, Qi
Registered author(s):

    We point out the close relationship between the integrated conditional moment tests in Bierens (1982, Journal of Econometrics 20, 105 134) and Bierens and Ploberger (1997, Econometrica 65, 1129 1152) with the complex-valued exponential weight function and the kernel-based tests in H rdle and Mammen (1993, Annals of Statistics 21, 1926 1947), Li and Wang (1998, Journal of Econometrics 87, 145 165), and Zheng (1996, Journal of Econometrics 75, 263 289). It is well established that the integrated conditional moment tests of Bierens (1982) and Bierens and Ploberger (1997) are more powerful than kernel-based nonparametric tests against Pitman local alternatives. In this paper we analyze the power properties of the kernel-based tests and the integrated conditional moment tests for a sequence of singular local alternatives, and show that the kernel-based tests can be more powerful than the integrated conditional moment tests for these singular local alternatives. These results suggest that integrated conditional moment tests and kernel-based tests should be viewed as complements to each other. Results from a simulation study are in agreement with the theoretical results.

    If you experience problems downloading a file, check if you have the proper application to view it first. 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.

    File URL: http://journals.cambridge.org/abstract_S0266466600166083
    File Function: link to article abstract page
    Download Restriction: no

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 16 (2000)
    Issue (Month): 06 (December)
    Pages: 1016-1041

    as
    in new window

    Handle: RePEc:cup:etheor:v:16:y:2000:i:06:p:1016-1041_16
    Contact details of provider: Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
    Web page: http://journals.cambridge.org/jid_ECT
    Email:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:16:y:2000:i:06:p:1016-1041_16. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.