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Maximum Likelihood Specification Testing and Conditional Moment Tests
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Cited by:
- Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
- Ralph Stinebrickner & Todd R. Stinebrickner, 2003.
"Working during School and Academic Performance,"
Journal of Labor Economics, University of Chicago Press, vol. 21(2), pages 449-472, April.
- Todd R. Stinebrickner & Ralph Stinebrickner, 2000. "Working During School and Academic Performance," University of Western Ontario, Departmental Research Report Series 20009, University of Western Ontario, Department of Economics.
- Todd Stinebrickner & Ralph Stinebrickner, 2001. "Working During School and Academic Performance," University of Western Ontario, Centre for Human Capital and Productivity (CHCP) Working Papers 20011, University of Western Ontario, Centre for Human Capital and Productivity (CHCP).
- Andrés Langebaek R. & Diego Vásquez E., 2007.
"Determinantes de la actividad innovadora en la industria manufacturera colombiana,"
Borradores de Economia
433, Banco de la Republica de Colombia.
- Andrés Langebaek R. & Diego Vásquez E., 2007. "Determinantes de la actividad innovadora en la industria manufacturera colombiana," Borradores de Economia 2313, Banco de la Republica.
- J. M. C. Santos Silva & Silvana Tenreyro, 2015.
"Trading Partners and Trading Volumes: Implementing the Helpman–Melitz–Rubinstein Model Empirically,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 93-105, February.
- Santos Silva, Joao M C & Tenreyro, Silvana, 2008. "Trading Partners and Trading Volumes:Implementing the Helpman-Melitz-Rubinstein Model Empirically," Economics Discussion Papers 3553, University of Essex, Department of Economics.
- Santos Silva, Joao & Tenreyro, Silvana, 2013. "Trading partners and trading volumes: implementing the Helpman-Melitz-Rubinstein model empirically," LSE Research Online Documents on Economics 55398, London School of Economics and Political Science, LSE Library.
- Santos Silva, Joao & Tenreyro, Silvana, 2009. "Trading partners and trading volumes: implementing the Helpman-Melitz-Rubinstein model empirically," LSE Research Online Documents on Economics 25505, London School of Economics and Political Science, LSE Library.
- J. M. C. Santos Silva & Silvana Tenreyro, 2009. "Trading Partners and Trading Volumes: Implementing the Helpman-Melitz-Rubinstein Model Empirically," CEP Discussion Papers dp0935, Centre for Economic Performance, LSE.
- Hiroyuki Kawakatsu, 2019. "Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series," Econometrics, MDPI, vol. 7(4), pages 1-19, December.
- Allan D. Brunner, 1997.
"On The Dynamic Properties Of Asymmetric Models Of Real GNP,"
The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 321-352, May.
- Allan D. Brunner, 1994. "On the dynamic properties of asymmetric models of real GNP," International Finance Discussion Papers 489, Board of Governors of the Federal Reserve System (U.S.).
- Daniel Heymann & Gabriel Montes-Rojas, 2018.
"On model-consistent expectations in macroeconomics,"
Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 64, pages 22-45, January-D.
- Daniel Heymann, Gabriel Montes-Rojas, 2018. "On model-consistent expectations in macroeconomics," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 64, pages 22-45, January-D.
- Daniel Heymann & Gabriel Montes Rojas, 2018. "On Model-Consistent Expectations in Macroeconomics," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2018-37, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
- Heckman, James J. & Schmierer, Daniel, 2010.
"Tests of hypotheses arising in the correlated random coefficient model,"
Economic Modelling, Elsevier, vol. 27(6), pages 1355-1367, November.
- James J. Heckman & Daniel A. Schmierer, 2010. "Tests of Hypotheses Arising in the Correlated Random Coefficient Model," NBER Working Papers 16421, National Bureau of Economic Research, Inc.
- Heckman, James J. & Schmierer, Daniel, 2010. "Tests of Hypotheses Arising in the Correlated Random Coefficient Model," IZA Discussion Papers 5205, Institute of Labor Economics (IZA).
- James J Heckman & Daniel Schmierer, 2010. "Tests of Hypotheses Arising In the Correlated Random Coefficient Model," Working Papers 201045, Geary Institute, University College Dublin.
- Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2000.
"Estimation of a censored regression panel data model using conditional moment restrictions efficiently,"
Journal of Econometrics, Elsevier, vol. 95(1), pages 25-56, March.
- Charlier, G.W.P. & Melenberg, B. & van Soest, A.H.O., 1995. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Discussion Paper 1995-114, Tilburg University, Center for Economic Research.
- Charlier, G.W.P. & Melenberg, B. & van Soest, A.H.O., 1995. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Other publications TiSEM 8bb5cab0-e58a-477b-88e9-8, Tilburg University, School of Economics and Management.
- Beaulieu, Marie-Claude, 1995. "Rendements boursiers et inflation," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(4), pages 455-480, décembre.
- Juliana D. Araujo & Povilas Lastauskas & Chris Papageorgiou, 2017.
"Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(7), pages 1517-1554, October.
- Juliana Araujo & Povilas Lastauskas & Chris Papageorgiou, 2015. "Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins," Cambridge Working Papers in Economics 1502, Faculty of Economics, University of Cambridge.
- Juliana Araujo & Povilas Lastauskas & Chris Papageorgiou, 2016. "Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins," Bank of Lithuania Working Paper Series 37, Bank of Lithuania.
- Chen, Songnian, 2000. "Efficient estimation of binary choice models under symmetry," Journal of Econometrics, Elsevier, vol. 96(1), pages 183-199, May.
- Doko Tchatoka, Firmin Sabro, 2012.
"Specification Tests with Weak and Invalid Instruments,"
MPRA Paper
40185, University Library of Munich, Germany.
- Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
- Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers 15063, University of Tasmania, Tasmanian School of Business and Economics, revised 26 Jun 2012.
- Silva João M. C. Santos & Tenreyro Silvana & Windmeijer Frank, 2015.
"Testing Competing Models for Non-negative Data with Many Zeros,"
Journal of Econometric Methods, De Gruyter, vol. 4(1), pages 29-46, January.
- Silva, João M. C. Santos & Tenreyro, Silvana & Windmeijer, Frank, 2015. "Testing competing models for non-negative data with many zeros," LSE Research Online Documents on Economics 63663, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Firmin Doko Tchatoka & Jean‐Marie Dufour, 2014.
"Identification‐robust inference for endogeneity parameters in linear structural models,"
Econometrics Journal, Royal Economic Society, vol. 17(1), pages 165-187, February.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," Working Papers 15064, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Aug 2012.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2014. "Identification-robust inference for endogeneity parameters in linear structural models," CIRANO Working Papers 2014s-17, CIRANO.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," MPRA Paper 40695, University Library of Munich, Germany.
- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2014. "Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models," Cahiers de recherche 03-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
- Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.
- Teodosio Perez Amaral, 1994. "Una aplicación de los contrastes M y de la matriz de información dinámica: el caso de la demanda de dinero norteamericana 1960-1984," Investigaciones Economicas, Fundación SEPI, vol. 18(1), pages 193-201, January.
- Gabriele Fiorentini & Enrique Sentana, 2016.
"Neglected serial correlation tests in UCARIMA models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
- Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
- Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
- Jinyong Hahn & Ruoyao Shi, 2021. "Breusch and Pagan’s (1980) Test Revisited," Working Papers 202110, University of California at Riverside, Department of Economics.
- Ellison, Glenn & Ellison, Sara Fisher, 2000.
"A simple framework for nonparametric specification testing,"
Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
- Ellison, G. & Ellison, F., 1993. "A Simple Framework for Non-Parametric Specification Testing," Harvard Institute of Economic Research Working Papers 1662, Harvard - Institute of Economic Research.
- Glenn Ellison & Sara Fisher Ellison, 1998. "A Simple Framework for Nonparametric Specification Testing," NBER Technical Working Papers 0234, National Bureau of Economic Research, Inc.
- Blix, M, 1997.
"Rational Expectations in a VAR with Markov Switching,"
Papers
627, Stockholm - International Economic Studies.
- Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
- David E. Runkle, 1990. "Bad news from a forecasting model of the U.S. economy," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 14(Fall), pages 2-10.
- MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
- Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
- Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
- Yang, Xiye, 2020. "Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests," Journal of Econometrics, Elsevier, vol. 215(2), pages 486-516.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
- Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
- THOMAS H. McCURDY & IEUAN G. MORGAN, 1992.
"Single Beta Models and Currency Futures Prices,"
The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 117-129, December.
- Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Single Beta Models and currency Futures Prices," Working Paper 845, Economics Department, Queen's University.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015.
"Parametric Inference and Dynamic State Recovery From Option Panels,"
Econometrica, Econometric Society, vol. 83(3), pages 1081-1145, May.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011. "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers 2012-11, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series gd12-266, Institute of Economic Research, Hitotsubashi University.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," NBER Working Papers 18046, National Bureau of Economic Research, Inc.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
"Sequential estimation of shape parameters in multivariate dynamic models,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Chen, Songnian, 1999. "Distribution-free estimation of the random coefficient dummy endogenous variable model," Journal of Econometrics, Elsevier, vol. 91(1), pages 171-199, July.
- Anzelika Zaiceva, 2006.
"Self-Selection and the Returns to Geographic Mobility: What Can Be Learned from the German Reunification "Experiment","
Discussion Papers of DIW Berlin
580, DIW Berlin, German Institute for Economic Research.
- Zaiceva, Anzelika, 2006. "Self-Selection and the Returns to Geographic Mobility: What Can Be Learned from the German Reunification "Experiment"," IZA Discussion Papers 2524, Institute of Labor Economics (IZA).
- 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.
- Davidson, Russell & MacKinnon, James G., 1989.
"Testing for Consistency using Artificial Regressions,"
Econometric Theory, Cambridge University Press, vol. 5(3), pages 363-384, December.
- Davidson, Russell & MacKinnon, James G., 1987. "Testing for Consistency Using Artificial Regressions," Queen's Institute for Economic Research Discussion Papers 275208, Queen's University - Department of Economics.
- Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Paper 687, Economics Department, Queen's University.
- Fiorentini, Gabriele & Sentana, Enrique, 2021.
"New testing approaches for mean–variance predictability,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.
- Kim Kyoo il & Petrin Amil, 2015.
"Tests for Price Endogeneity in Differentiated Product Models,"
Journal of Econometric Methods, De Gruyter, vol. 4(1), pages 47-69, January.
- Kyoo il Kim & Amil Petrin, 2013. "Tests for Price Endogeneity in Differentiated Product Models," NBER Working Papers 19011, National Bureau of Economic Research, Inc.
- Hill Jonathan B., 2013. "Stochastically weighted average conditional moment tests of functional form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 121-139, April.
- Yi-Ting Chen, 2016. "Testing for Granger Causality in Moments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(2), pages 265-288, April.
- Parente, Paulo M.D.C. & Smith, Richard J., 2011.
"Gel Methods For Nonsmooth Moment Indicators,"
Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
- Paulo Parente & Richard Smith, 2008. "GEL methods for non-smooth moment indicators," CeMMAP working papers CWP19/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Geert Dhaene & Olivier Scaillet, 2000.
"Reversed Score and Likelihood Ratio Tests,"
Working Papers
2000-60, Center for Research in Economics and Statistics.
- Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," LIDAM Discussion Papers IRES 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers 1746, Econometric Society.
- Jungyoon Lee & Peter C.B. Phillips & Francesca Rossi, 2020. "Consistent Misspecification Testing in Spatial Autoregressive Models," Cowles Foundation Discussion Papers 2256, Cowles Foundation for Research in Economics, Yale University.
- Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998.
"Information Theoretic Approaches to Inference in Moment Condition Models,"
Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
- Guido W Imbens, Phillip Johnson & Richard H Spady, "undated". "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," Harvard Institute of Economic Research Working Papers 1736, Harvard - Institute of Economic Research.
- Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," NBER Technical Working Papers 0186, National Bureau of Economic Research, Inc.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
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- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2023.
"Constrained Conditional Moment Restriction Models,"
Econometrica, Econometric Society, vol. 91(2), pages 709-736, March.
- Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2015. "Constrained conditional moment restriction models," CeMMAP working papers CWP59/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2015. "Constrained conditional moment restriction models," CeMMAP working papers 59/15, Institute for Fiscal Studies.
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"Does education engender cultural values that matter for economic growth?,"
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"Bartlett identities tests,"
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"Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 390-418.
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"Regression Analysis of Multivariate Fractional Data,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 515-552, April.
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"A Box-Cox Double-Hurdle model of wildlife valuation: The citizen's perspective,"
Ecological Economics, Elsevier, vol. 58(1), pages 192-208, June.
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"Bayesian averaging, prediction and nonnested model selection,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 358-369.
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- Mark Aguiar & Gita Gopinath, 2007.
"Emerging Market Business Cycles: The Cycle Is the Trend,"
Journal of Political Economy, University of Chicago Press, vol. 115(1), pages 69-102.
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- Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
- Juan Carlos Mu�oz-Mora & Santiago Tob�n-Zapata & Jesse d'Anjou, 2014.
"Does land titling matter? The role of land property rights in the war on illicit crops in Colombia,"
HiCN Working Papers
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