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Integrated Conditional Moment Tests For Parametric Conditional Distributions

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  • Bierens, Herman J.
  • Wang, Li

Abstract

In this paper we propose consistent integrated conditional moment tests for the validity of parametric conditional distribution models, based on the integrated squared difference between the empirical characteristic function of the actual data and the characteristic function implied by the model. To avoid numerical evaluation of the conditional characteristic function of the model distribution, a simulated integrated conditional moment test is proposed. As an empirical application we test the validity of a few common health economic count data models.

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  • Bierens, Herman J. & Wang, Li, 2012. "Integrated Conditional Moment Tests For Parametric Conditional Distributions," Econometric Theory, Cambridge University Press, vol. 28(02), pages 328-362, April.
  • Handle: RePEc:cup:etheor:v:28:y:2012:i:02:p:328-362_00
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    Cited by:

    1. Anne Leucht & Michael Neumann, 2013. "Degenerate $$U$$ - and $$V$$ -statistics under ergodicity: asymptotics, bootstrap and applications in statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(2), pages 349-386, April.
    2. 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.

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