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On the sensitivity of Kernel-based Conditional Moment Tests to Unconsidered Local Alternatives

  • E. Fe-Rodríguez
  • C. 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 0606.

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Date of creation: 2006
Date of revision:
Handle: RePEc:man:sespap:0606
Contact details of provider: Postal: Manchester M13 9PL
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  1. Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
  2. 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.
  3. Davidson, Russell & MacKinnon, James G, 1987. "Implicit Alternatives and the Local Power of Test Statistics," Econometrica, Econometric Society, vol. 55(6), pages 1305-29, November.
  4. Bera, Anil K. & Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2009. "Testing under local misspecification and artificial regressions," Economics Letters, Elsevier, vol. 104(2), pages 66-68, August.
  5. Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
  6. Les Godfrey & Chris Orme, . "The Sensitivity of some General Checks to Omitted Variables in the Linear Model," Discussion Papers 92/3, Department of Economics, University of York.
  7. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
  8. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  9. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09.
  10. 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.
  11. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
  12. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
  13. Jaggia, Sanjiv, 1991. "Specification Tests Based on the Heterogeneous Generalized Gamma Model of Duration: With an Application to Kennan's Strike Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 169-80, April-Jun.
  14. 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.
  15. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
  16. L. G. Godfrey & C. D. Orme & J. M. C. Santos Silva, 2006. "Simulation-based tests for heteroskedasticity in linear regression models: Some further results," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 76-97, 03.
  17. Fuchun Li & Greg Tkacz, 2001. "A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data," Working Papers 01-21, Bank of Canada.
  18. Godfrey, Leslie G & Orme, Chris D, 1996. "On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 263-81, May.
  19. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-67, July.
  20. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  21. Davidson, James & Monticini, Andrea & Peel, David, 2007. "Implementing the wild bootstrap using a two-point distribution," Economics Letters, Elsevier, vol. 96(3), pages 309-315, September.
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