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The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics

  • E Fe-Rodriguez
  • C D Orme

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Paper provided by Economics, The University of Manchester in its series The School of Economics Discussion Paper Series with number 0504.

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Date of creation: 2005
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Handle: RePEc:man:sespap:0504
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  1. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  2. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
  3. Hsiao, Cheng & Li, Qi, 2001. "A Consistent Test For Conditional Heteroskedasticity In Time-Series Regression Models," Econometric Theory, Cambridge University Press, vol. 17(01), pages 188-221, February.
  4. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 451-477, June.
  5. Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
  6. Zheng, John Xu, 1998. "Consistent Specification Testing For Conditional Symmetry," Econometric Theory, Cambridge University Press, vol. 14(01), pages 139-149, February.
  7. Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
  8. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
  9. Lavergne, Pascal & Vuong, Quang, 2000. "Nonparametric Significance Testing," Econometric Theory, Cambridge University Press, vol. 16(04), pages 576-601, August.
  10. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  11. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  12. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  13. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  14. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
  15. Yanqin Fan & Qi Li, 2002. "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 337-352.
  16. Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
  17. Ruud, Paul A., 1984. "Tests of Specification in Econometrics," Department of Economics, Working Paper Series qt4kq8m0hf, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  18. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
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