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Citations for "Asymptotic Theory of Integrated Conditional Moment Tests"

by Herman J. Bierens & Werner Ploberger

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  1. Horowitz, Joel L. & Spokoiny, Vladimir G., 2000. "An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models," Working Papers 00-04, University of Iowa, Department of Economics.
  2. Pascal Lavergne & Valentin Patilea, 2006. "Breaking the Curse of Dimensionality in Nonparametric Testing," Working Papers 2006-24, Centre de Recherche en Economie et Statistique.
  3. Pascal Lavergne & Valentin Patilea, 2007. "One for All and All for One : Regression Checks with Many Regressors”," Working Papers 2007-12, Centre de Recherche en Economie et Statistique.
  4. Heckman, James J. & Schmierer, Daniel, 2010. "Tests of Hypotheses Arising in the Correlated Random Coefficient Model," IZA Discussion Papers 5205, Institute for the Study of Labor (IZA).
  5. Christoph Rothe & Dominik Wied, 2013. "Misspecification Testing in a Class of Conditional Distributional Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(501), pages 314-324, March.
  6. Valentina Corradi & Norman R. Swanson, 2007. "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, 02.
  7. Park, Joon Y. & Whang, Yoon-Jae, 2004. "A Test of the Martingale Hypothesis," Working Papers 2004-11, Rice University, Department of Economics.
  8. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
  9. Delgado, Miguel A. & Álvarez, Begoña, 1997. "Nonparametric checks for count data models: an application to demand for health care in Spain," DES - Working Papers. Statistics and Econometrics. WS 4547, Universidad Carlos III de Madrid. Departamento de Estadística.
  10. Kyungchul Song, 2007. "Testing Conditional Independence via Rosenblatt Transforms," PIER Working Paper Archive 07-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  11. Emmanuel Guerre & Pascal Lavergne, 2001. "Rate-optimal data-driven specification testing in regression models," Econometrics 0107001, EconWPA.
  12. Jin Seo Cho & Halbert White, 2009. "Generalized Runs Test for the IID Hypothesis," Discussion Paper Series 0913, Institute of Economic Research, Korea University.
  13. Javier Hidalgo, 2007. "Specification Testing Forregression Models Withdependent Data," STICERD - Econometrics Paper Series 518, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. Javier Hidalgo, 2007. "Specification testing for regression models with dependent data," LSE Research Online Documents on Economics 6799, London School of Economics and Political Science, LSE Library.
  15. Li, Jia & Todorov, Viktor & Tauchen, George, 2016. "Inference theory for volatility functional dependencies," Journal of Econometrics, Elsevier, vol. 193(1), pages 17-34.
  16. Juan Carlos Escanciano, 2005. "On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions," Faculty Working Papers 07/05, School of Economics and Business Administration, University of Navarra.
  17. Horowitz, Joel L. & Lee, Sokbae, 2009. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," Journal of Econometrics, Elsevier, vol. 152(2), pages 141-152, October.
  18. Masamune Iwasawa, 2015. "Joint Specification Tests For Response Probabilities In Unordered Multinomial Choice Models," KIER Working Papers 919, Kyoto University, Institute of Economic Research.
  19. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
  20. Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015. "Specification testing for transformation models with an application to generalized accelerated failure-time models," Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
  21. Jhon James Mora, 2003. "Sheepskin effects and screening in Colombia," COLOMBIAN ECONOMIC JOURNAL, UN - RCE - CID, April.
    • Jhon James Mora, 2003. "Sheepskin effects and screening in Colombia," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Universidad Externado de Colombia, Universidad Nacional de Colombia, vol. 1(1), pages 95-108, December.
  22. Cheng Hsiao & Qi Li & Jeff Racine, 2006. "A Consistent Model Specification Test with Mixed Discrete and Continuous Data," IEPR Working Papers 06.47, Institute of Economic Policy Research (IEPR).
  23. Juan Carlos Escanciano, 2005. "A Consistent Diagnostic Test for Regression Models Using Projections," Faculty Working Papers 09/05, School of Economics and Business Administration, University of Navarra.
  24. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
  25. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
  26. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  27. Javier Hidalgo, 1999. "Nonparametric tests for model selection with time series data," TEST- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 365-398, December.
  28. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
  29. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  30. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
  31. Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M., 1994. "Goodness-of-fit tests for regression using kernel methods," Working papers 3747-94., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  32. Jonathan B. Hill, 2004. "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics 0402004, EconWPA, revised 01 Mar 2004.
  33. Richard Blundell & Joel Horowitz, 2004. "A nonparametric test of exogeneity," CeMMAP working papers CWP15/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  34. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  35. Juan Mora & Daniel Miles, 2002. "On The Performance Of Nonparametric Specification Tests In Regression Models," Working Papers. Serie AD 2002-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  36. Lin, Zhongjian & Li, Qi & Sun, Yiguo, 2014. "A consistent nonparametric test of parametric regression functional form in fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 167-179.
  37. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
  38. Corradi, Valentina & Fernandez, Andres & Swanson, Norman R., 2009. "Information in the Revision Process of Real-Time Datasets," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 455-467.
  39. Lavergne, Pascal & Delgado, Miguel A. & Domínguez, Manuel A., 1998. "Asymptotic and bootstrap specification tests of nonlinear in variable econometric models," DES - Working Papers. Statistics and Econometrics. WS 4674, Universidad Carlos III de Madrid. Departamento de Estadística.
  40. Ignacio N. Lobato, 2000. "A Consistent Test for the Martingale Difference Assumption," Econometric Society World Congress 2000 Contributed Papers 0278, Econometric Society.
  41. Carlos Escanciano, J., 2008. "Joint and marginal specification tests for conditional mean and variance models," Journal of Econometrics, Elsevier, vol. 143(1), pages 74-87, March.
  42. Wang, Xuexin, 2015. "A Note on Consistent Conditional Moment Tests," MPRA Paper 69005, University Library of Munich, Germany.
  43. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
  44. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76 Elsevier.
  45. Kostov, Philip & Patton, Myles & Moss, Joan & McErlean, Seamus, 2006. "Does Gibrat’s law hold amongst dairy farmers in Northern Ireland?," MPRA Paper 3370, University Library of Munich, Germany.
  46. Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
  47. Hidalgo, Javier & Delgado, Miguel A., 1998. "Consistent specification testing of stationary processes with long-range dependence: asymptotic and bootstrap tests," DES - Working Papers. Statistics and Econometrics. WS 4673, Universidad Carlos III de Madrid. Departamento de Estadística.
  48. Bartels, Knut, 1998. "A model specification test," SFB 373 Discussion Papers 1998,109, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  49. James Heckman & Daniel Schmierer & Sergio Urzua, 2010. "Testing the correlated random coefficient model," CeMMAP working papers CWP10/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  50. Youngki Shin, 2009. "Misspecified Markov Switching Model," Economics Bulletin, AccessEcon, vol. 29(2), pages 957-963.
  51. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, 01-2013.
  52. Juan Carlos Escanciano & Kyungchul Song, 2007. "Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects," PIER Working Paper Archive 07-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  53. Song, Peter X.-K. & Freeland, R. Keith & Biswas, Atanu & Zhang, Shulin, 2013. "Statistical analysis of discrete-valued time series using categorical ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 112-124.
  54. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers 133, CREFE, Université du Québec à Montréal.
  55. Lu, Xun & White, Halbert, 2014. "Testing for separability in structural equations," Journal of Econometrics, Elsevier, vol. 182(1), pages 14-26.
  56. Maistre, Samuel & Lavergne, Pascal & Patilea, Valentin, 2014. "Powerful nonparametric checks for quantile regression," TSE Working Papers 14-501, Toulouse School of Economics (TSE).
  57. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
  58. Liu, Zhenjun & Stengos, Thanasis & Li, Qi, 2000. "Nonparametric model check based on local polynomial fitting," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 327-334, July.
  59. repec:cte:wsrepe:ws035212 is not listed on IDEAS
  60. Hoogstrate, A.J. & Osang, T., 1998. "Saving, openness, and growth," Discussion Paper 1998-47, Tilburg University, Center for Economic Research.
  61. Juan M. Rodríguez-Póo & Stefan Sperlich & Philippe Vieu, 2012. "A Practical Test for Misspecification in Regression: Functional Form, Separability and Distribution," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 12093, Institut d'Economie et Econométrie, Université de Genève.
  62. Donald W.K. Andrews & Werner Ploberger, 1994. "Testing for Serial Correlation Against an ARMA(1,1) Process," Cowles Foundation Discussion Papers 1077, Cowles Foundation for Research in Economics, Yale University.
  63. G. Duggal, Vijaya & Saltzman, Cynthia & Klein, Lawrence R., 1999. "Infrastructure and productivity: a nonlinear approach," Journal of Econometrics, Elsevier, vol. 92(1), pages 47-74, September.
  64. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim, 2009. "A nonparametric copula based test for conditional independence with applications to Granger causality," CORE Discussion Papers 2009041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  65. Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.
  66. repec:wyi:journl:002074 is not listed on IDEAS
  67. Norman R. Swanson & Nii Ayi Armah, 2011. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 201103, Rutgers University, Department of Economics.
  68. Ahmad, Ibrahim & Chen, Xiaohong & Li, Qi, 2001. "Model check by kernel methods under weak moment conditions," Computational Statistics & Data Analysis, Elsevier, vol. 36(3), pages 403-409, May.
  69. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
  70. Bierens, H.J., 1996. "Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the U.S," Discussion Paper 1996-62, Tilburg University, Center for Economic Research.
  71. Corradi, Valentina & Swanson, Norman R., 2004. "Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives," International Journal of Forecasting, Elsevier, vol. 20(2), pages 185-199.
  72. J. Carlos Escanciano & Carlos Velasco, 2010. "Specification tests of parametric dynamic conditional quantiles," Post-Print hal-00732534, HAL.
  73. Bierens, Herman J. & Song, Hosin, 2012. "Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method," Journal of Econometrics, Elsevier, vol. 168(1), pages 108-119.
  74. Velasco, Carlos & Escanciano, Juan Carlos, 2003. "Generalized spectral tests for the martingale difference hypothesis," DES - Working Papers. Statistics and Econometrics. WS ws035312, Universidad Carlos III de Madrid. Departamento de Estadística.
  75. Juan Carlos Escanciano, 2004. "Model Checks Using Residual Marked Empirical Processes," Faculty Working Papers 13/04, School of Economics and Business Administration, University of Navarra.
  76. Fan, Yanqin & Park, Sang Soo, 2014. "Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV," Journal of Econometrics, Elsevier, vol. 178(P1), pages 45-56.
  77. Domínguez, Manuel A. & Delgado, Miguel A., 1997. "Consistent specification testing of quantile regression models," DES - Working Papers. Statistics and Econometrics. WS 6211, Universidad Carlos III de Madrid. Departamento de Estadística.
  78. Escanciano, Juan Carlos & Jacho-Chávez, David T., 2010. "Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications," Computational Statistics & Data Analysis, Elsevier, vol. 54(3), pages 625-636, March.
  79. Huang, Meng & Sun, Yixiao & White, Hal, 2013. "A Flexible Nonparametric Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series qt3pt89204, Department of Economics, UC San Diego.
  80. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, Elsevier.
  81. Hidalgo, J., 2008. "Specification testing for regression models with dependent data," Journal of Econometrics, Elsevier, vol. 143(1), pages 143-165, March.
  82. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
  83. Manuel Vega-Gordillo & José Luis à lvarez-Arce, 2005. "Heterogeneity In Economic Freedom: Free Clusters Or Free Countries," Faculty Working Papers 08/05, School of Economics and Business Administration, University of Navarra.
  84. Herman J. Bierens & Jose R. Carvalho, 2007. "Semi-nonparametric competing risks analysis of recidivism," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 971-993.
  85. Henderson, Daniel J. & Kumbhakar, Subal C. & Li, Qi & Parmeter, Christopher F., 2015. "Smooth coefficient estimation of a seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 148-162.
  86. Whang, Yoon-Jae, 2001. "Consistent specification testing for conditional moment restrictions," Economics Letters, Elsevier, vol. 71(3), pages 299-306, June.
  87. Horowitz, Joel L. & Spokoiny, Vladimir G., 1999. "An Adaptive, Rate-Optimal Test of a Parametric Model Against a Nonparametric Alternative," Working Papers 99-02, University of Iowa, Department of Economics.
  88. 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.
  89. 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.
  90. Haag, Berthold R. & Hoderlein, Stefan & Pendakur, Krishna, 2009. "Testing and imposing Slutsky symmetry in nonparametric demand systems," Journal of Econometrics, Elsevier, vol. 153(1), pages 33-50, November.
  91. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
  92. Joel Horowitz, 2004. "Testing a parametric model against a nonparametric alternative with identification through instrumental variables," CeMMAP working papers CWP14/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  93. Li, Tong & Oka, Tatsushi, 2015. "Set identification of the censored quantile regression model for short panels with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 363-377.
  94. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, Exeter University, Department of Economics.
  95. Oliver Linton & Pedro Gozalo, 1995. "Testing Additivity in Generalized Nonparametric Regression Models," Cowles Foundation Discussion Papers 1106, Cowles Foundation for Research in Economics, Yale University.
  96. Lu, Xun & White, Habert, 2015. "Testing For Treatment Dependence Of Effects Of A Continuous Treatment," Econometric Theory, Cambridge University Press, vol. 31(05), pages 1016-1053, October.
  97. Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, Open Access Journal, vol. 3(3), pages 667, September.
  98. Yanqin Fan & Oliver Linton, 1997. "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test," Cowles Foundation Discussion Papers 1148, Cowles Foundation for Research in Economics, Yale University.
  99. 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.
  100. Oliver Linton & Pedro Gozalo, 1996. "Conditional Independence Restrictions: Testing and Estimation," Cowles Foundation Discussion Papers 1140, Cowles Foundation for Research in Economics, Yale University.
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