IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v143y2008i1p143-165.html
   My bibliography  Save this article

Specification testing for regression models with dependent data

Author

Listed:
  • Hidalgo, J.

Abstract

No abstract is available for this item.

Suggested Citation

  • Hidalgo, J., 2008. "Specification testing for regression models with dependent data," Journal of Econometrics, Elsevier, vol. 143(1), pages 143-165, March.
    • Handle: RePEc:eee:econom:v:143:y:2008:i:1:p:143-165
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(07)00164-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
    2. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
    3. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
    4. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
    5. Javier Hidalgo, 2000. "Nonparametric Test for Causality with Long-Range Dependence," Econometrica, Econometric Society, vol. 68(6), pages 1465-1490, November.
    6. Johnston, Gordon J., 1982. "Probabilities of maximal deviations for nonparametric regression function estimates," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 402-414, September.
    7. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," LSE Research Online Documents on Economics 6850, London School of Economics and Political Science, LSE Library.
    8. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.
    9. Delgado, Miguel A. & Hidalgo, Javier & Velasco, Carlos, 2005. "Distribution free goodness-of-fit tests for linear processes," LSE Research Online Documents on Economics 6840, London School of Economics and Political Science, LSE Library.
    10. Javier Hidalgo, 1997. "Non‐Parametric Estimation With Strongly Dependent Multivariate Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(2), pages 95-122, March.
    11. Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series 452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    12. Hidalgo, Javier, 2000. "Nonparametric test for causality with long-range dependence," LSE Research Online Documents on Economics 6866, London School of Economics and Political Science, LSE Library.
    13. Hidalgo, Javier, 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.
    14. 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.
    15. Holly, Alberto, 1982. "A Remark on Hausman's Specification Test," Econometrica, Econometric Society, vol. 50(3), pages 749-759, May.
    16. 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.
    17. Clifford M. Hurvich, 2001. "Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 679-709, November.
    18. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hidalgo, Javier, 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.
    2. 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.
    3. Nishiyama, Yoshihiko & Hitomi, Kohtaro & Kawasaki, Yoshinori & Jeong, Kiho, 2011. "A consistent nonparametric test for nonlinear causality—Specification in time series regression," Journal of Econometrics, Elsevier, vol. 165(1), pages 112-127.
    4. Hidalgo, Javier, 2009. "Goodness of fit for lattice processes," Journal of Econometrics, Elsevier, vol. 151(2), pages 113-128, August.
    5. Wang, Xuexin, 2015. "A Note on Consistent Conditional Moment Tests," MPRA Paper 69005, University Library of Munich, Germany.
    6. Hsiao, Cheng & Li, Qi & Racine, Jeffrey S., 2007. "A consistent model specification test with mixed discrete and continuous data," Journal of Econometrics, Elsevier, vol. 140(2), pages 802-826, October.
    7. Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, vol. 3(3), pages 1-31, September.
    8. 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.
    9. Jonathan B. Hill, 2004. "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics 0402004, University Library of Munich, Germany, revised 05 Aug 2005.
    10. Wang, Luya, 2022. "Adaptive testing using data-driven method selecting smoothing parameters," Economics Letters, Elsevier, vol. 215(C).
    11. Lavergne, Pascal & Patilea, Valentin, 2008. "Breaking the curse of dimensionality in nonparametric testing," Journal of Econometrics, Elsevier, vol. 143(1), pages 103-122, March.
    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. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. 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.
    20. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:143:y:2008:i:1:p:143-165. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.