Consistent GMM Residuals-Based Tests of Functional Form
This paper presents a consistent Generalized Method of Moments (GMM) residuals-based test of functional form for time series models. By relating two moments we deliver a vector moment condition in which at least one element must be nonzero if the model is misspecified. The test will never fail to detect misspecification of any form for large samples, and is asymptotically chi-squared under the null, allowing for fast and simple inference. A simulation study reveals randomly selecting the nuisance parameter leads to more power than supremum-tests, and can obtain empirical power nearly equivalent to the most powerful test for even relatively small n .
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 32 (2013)
Issue (Month): 3 (November)
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:32:y:2013:i:3:p:361-383. 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: ()
If references are entirely missing, you can add them using this form.