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Asymptotic theory of integrated conditional moment tests

Citations

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Cited by:

  1. Colling, Benjamin & Van Keilegom, Ingrid, 2016. "Goodness-of-fit tests in semiparametric transformation models using the integrated regression function," LIDAM Discussion Papers ISBA 2016031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  2. Norman Swanson & Nii Ayi Armah, 2006. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 200619, Rutgers University, Department of Economics.
  3. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
  4. repec:cte:wsrepe:ws035312 is not listed on IDEAS
  5. 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.
  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. Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019. "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
  8. Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2018_1709, CEMFI.
  9. 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.
  10. 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.
  11. Brantly Callaway & Pedro H. C. Sant'Anna, 2018. "Difference-in-Differences with Multiple Time Periods and an Application on the Minimum Wage and Employment," DETU Working Papers 1804, Department of Economics, Temple University.
  12. Callaway, Brantly & Sant’Anna, Pedro H.C., 2021. "Difference-in-Differences with multiple time periods," Journal of Econometrics, Elsevier, vol. 225(2), pages 200-230.
  13. 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.
  14. 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.
  15. Donald W. K. Andrews & Xiaoxia Shi, 2013. "Inference Based on Conditional Moment Inequalities," Econometrica, Econometric Society, vol. 81(2), pages 609-666, March.
  16. 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.
  17. Domínguez, Manuel 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.
  18. Richard Blundell & Joel L. Horowitz, 2007. "A Non-Parametric Test of Exogeneity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1035-1058.
  19. Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
  20. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019. "Cross-Sectional Dispersion of Risk in Trading Time," NBER Working Papers 26329, National Bureau of Economic Research, Inc.
  21. Kostov, Philip & Patton, Myles & Moss, Joan E. & McErlean, Seamus, 2005. "Does Gibrat's Law Hold Amongst Dairy Farmers in Northern Ireland?," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24775, European Association of Agricultural Economists.
  22. repec:wyi:journl:002074 is not listed on IDEAS
  23. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  24. 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.
  25. 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.
  26. Wang, Luya, 2022. "Adaptive testing using data-driven method selecting smoothing parameters," Economics Letters, Elsevier, vol. 215(C).
  27. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," Economics Discussion Paper Series 1115, Economics, The University of Manchester.
  28. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre.
  29. Taoufik Bouezmarni & Abderrahim Taamouti, 2014. "Nonparametric tests for conditional independence using conditional distributions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(4), pages 697-719, December.
  30. Yang, Xiye, 2020. "Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests," Journal of Econometrics, Elsevier, vol. 215(2), pages 486-516.
  31. 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.
  32. 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.
  33. Bierens, H.J., 1996. "Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the U.S," Other publications TiSEM 9ff1d24c-a8d4-448a-8dd2-8, Tilburg University, School of Economics and Management.
  34. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2022. "Optimal minimax rates against nonsmooth alternatives [Optimal testing for additivity in multiple nonparametric regression]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 322-339.
  35. Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, vol. 3(3), pages 1-31, September.
  36. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2023. "Optimal minimax rates of specification testing with data-driven bandwidth," Econometric Reviews, Taylor & Francis Journals, vol. 42(6), pages 487-512, June.
  37. 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.
  38. Emmanuel Guerre & Pascal Lavergne, 2001. "Rate-optimal data-driven specification testing in regression models," Econometrics 0107001, University Library of Munich, Germany.
  39. 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.
  40. 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.
  41. Kuan Chung-Ming & Lee Wei-Ming, 2004. "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
  42. 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.
  43. Oliver Linton & Pedro Gozalo, 1996. "Conditional Independence Restrictions: Testing and Estimation," Cowles Foundation Discussion Papers 1140, Cowles Foundation for Research in Economics, Yale University.
  44. Escanciano, J. Carlos, 2006. "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, vol. 22(6), pages 1030-1051, December.
  45. Cho, Jin Seo & White, Halbert, 2011. "Generalized runs tests for the IID hypothesis," Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
  46. Li, Jia & Liao, Zhipeng, 2020. "Uniform nonparametric inference for time series," Journal of Econometrics, Elsevier, vol. 219(1), pages 38-51.
  47. 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, February.
  48. Park Joon Y. & Whang Yoon-Jae, 2005. "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-32, June.
  49. Juan Carlos Escanciano & Javier Hualde, 2009. "Persistence In Nonlinear Time Series: A Nonparametric Approach," CAEPR Working Papers 2009-003, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  50. Roca-Pardinas, Javier & Sperlich, Stefan, 2007. "Testing the link when the index is semiparametric--a comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6565-6581, August.
  51. Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020. "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, vol. 218(2), pages 655-689.
  52. Sant’Anna, Pedro H.C. & Song, Xiaojun, 2019. "Specification tests for the propensity score," Journal of Econometrics, Elsevier, vol. 210(2), pages 379-404.
  53. 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.
  54. repec:cwl:cwldpp:1761rr is not listed on IDEAS
  55. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021. "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, vol. 12(2), pages 647-682, May.
  56. Herman J. Bierens & Li Wang, 2017. "Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 103-135, March.
  57. Huang, W. & Linton, O. & Zhang, Z., 2021. "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Cambridge Working Papers in Economics 2113, Faculty of Economics, University of Cambridge.
  58. Escanciano, Juan Carlos & Velasco, Carlos, 2010. "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, vol. 159(1), pages 209-221, November.
  59. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
  60. Jhon James Mora, 2003. "Sheepskin effects and screening in Colombia," Colombian Economic Journal, Universidad Nacional de Colombia, FCE, 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.
  61. Hoogstrate, A.J. & Osang, T., 1998. "Saving, openness, and growth," Other publications TiSEM 37acb861-bcba-4849-823b-3, Tilburg University, School of Economics and Management.
  62. 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.
  63. 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.
  64. Pedro H. C. Sant’Anna, 2021. "Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 816-832, July.
  65. Pascal Lavergne & Valentin Patilea, 2011. "One for All and All for One: Regression Checks With Many Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 41-52, January.
  66. Sungwon Lee & Joon H. Ro, 2020. "Nonparametric Tests for Conditional Quantile Independence with Duration Outcomes," Working Papers 2013, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
  67. Lu, Xun & White, Habert, 2015. "Testing For Treatment Dependence Of Effects Of A Continuous Treatment," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1016-1053, October.
  68. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.
  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. 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.
  72. Heckman, James J. & Schmierer, Daniel & Urzua, Sergio, 2010. "Testing the correlated random coefficient model," Journal of Econometrics, Elsevier, vol. 158(2), pages 177-203, October.
  73. 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.
  74. 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.
  75. Cui Rui & Li Yuhao, 2024. "Goodness-of-Fit for Conditional Distributions: An Approach Using Principal Component Analysis and Component Selection," Papers 2403.10352, arXiv.org.
  76. Carlos Velasco & Xuexin Wang, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2024-09-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  77. 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.
  78. repec:cte:werepe:we1211 is not listed on IDEAS
  79. Shengfang Tang & Zongwu Cai & Ying Fang & Ming Lin, 2019. "Testing Unconfoundedness Assumption Using Auxiliary Variables," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201905, University of Kansas, Department of Economics, revised Mar 2019.
  80. Li, Lingzhu & Chiu, Sung Nok & Zhu, Lixing, 2019. "Model checking for regressions: An approach bridging between local smoothing and global smoothing methods," Computational Statistics & Data Analysis, Elsevier, vol. 138(C), pages 64-82.
  81. 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.
  82. Hoogstrate, A.J. & Osang, T., 1998. "Saving, openness, and growth," Discussion Paper 1998-47, Tilburg University, Center for Economic Research.
  83. Delgado, Miguel A. & Song, Xiaojun, 2018. "Nonparametric tests for conditional symmetry," Journal of Econometrics, Elsevier, vol. 206(2), pages 447-471.
  84. Wang, Xuexin, 2015. "A Note on Consistent Conditional Moment Tests," MPRA Paper 69005, University Library of Munich, Germany.
  85. Zdeněk Hlávka & Marie Hušková & Claudia Kirch & Simos G. Meintanis, 2017. "Fourier--type tests involving martingale difference processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 468-492, April.
  86. 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.
  87. Liangjun Su & Yundong Tu & Aman Ullah, 2015. "Testing Additive Separability of Error Term in Nonparametric Structural Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1057-1088, December.
  88. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011. "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 275-287, October.
  89. Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2020. "Testing Unconfoundedness Assumption Using Auxiliary Variables," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202004, University of Kansas, Department of Economics, revised Feb 2020.
  90. 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.
  91. Miles, Daniel & Mora, Juan, 2003. "On the performance of nonparametric specification tests in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 477-490, March.
  92. Jun Zhang & Xia Cui & Heng Peng, 2020. "Estimation and hypothesis test for partial linear single-index multiplicative models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(3), pages 699-740, June.
  93. Lee Tae-Hwy, 2001. "Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(4), pages 1-15, January.
  94. Russell Davidson & Victoria Zinde‐Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(5), pages 1595-1631, December.
  95. Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023. "Testing the martingale difference hypothesis in high dimension," Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
  96. 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.
  97. 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.
  98. Domínguez, Manuel A. & Lavergne, Pascal, 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.
  99. Elia Lapenta, 2022. "A Bootstrap Specification Test for Semiparametric Models with Generated Regressors," Papers 2212.11112, arXiv.org, revised Oct 2023.
  100. 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.
  101. 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.
  102. 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.
  103. Hidalgo, J., 2008. "Specification testing for regression models with dependent data," Journal of Econometrics, Elsevier, vol. 143(1), pages 143-165, March.
  104. 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.
  105. Youngki Shin, 2009. "Misspecified Markov Switching Model," Economics Bulletin, AccessEcon, vol. 29(2), pages 957-963.
  106. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
  107. Krikamol Muandet & Wittawat Jitkrittum & Jonas Kubler, 2020. "Kernel Conditional Moment Test via Maximum Moment Restriction," Papers 2002.09225, arXiv.org, revised Jun 2020.
  108. Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
  109. Huang, Meng & Sun, Yixiao & White, Halbert, 2016. "A Flexible Nonparametric Test For Conditional Independence," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1434-1482, December.
  110. Dong, Hao & Taylor, Luke, 2022. "Nonparametric Significance Testing In Measurement Error Models," Econometric Theory, Cambridge University Press, vol. 38(3), pages 454-496, June.
  111. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
  112. Hsu, Yu-Chin & Shen, Shu, 2019. "Testing treatment effect heterogeneity in regression discontinuity designs," Journal of Econometrics, Elsevier, vol. 208(2), pages 468-486.
  113. 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.
  114. Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
  115. Lavergne, Pascal & Patilea, Valentin, 2008. "Breaking the curse of dimensionality in nonparametric testing," Journal of Econometrics, Elsevier, vol. 143(1), pages 103-122, March.
  116. 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.
  117. 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.
  118. Li, Jia & Todorov, Viktor & Tauchen, George, 2016. "Inference theory for volatility functional dependencies," Journal of Econometrics, Elsevier, vol. 193(1), pages 17-34.
  119. Jonathan B. Hill, 2004. "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics 0402004, University Library of Munich, Germany, revised 05 Aug 2005.
  120. 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.
  121. 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.
  122. Elia Lapenta & Pascal Lavergne, 2022. "Encompassing Tests for Nonparametric Regressions," Papers 2203.06685, arXiv.org, revised Oct 2023.
  123. Junsheng Ha & Pei-Pei Tan & Kim-Leng Goh, 2018. "Linear and nonlinear causal relationship between energy consumption and economic growth in China: New evidence based on wavelet analysis," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-21, May.
  124. Ignacio N. Lobato, 2000. "A Consistent Test for the Martingale Difference Assumption," Econometric Society World Congress 2000 Contributed Papers 0278, Econometric Society.
  125. Ariel M. Viale & Jeff Madura, 2014. "Learning Banks' Exposure To Systematic Risk: Evidence From The Financial Crisis Of 2008," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 75-98, February.
  126. 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.
  127. 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.
  128. repec:cte:werepe:24120 is not listed on IDEAS
  129. Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2018. "Rate Optimal Specification Test When the Number of Instruments is Large," KIER Working Papers 986, Kyoto University, Institute of Economic Research.
  130. Jean-Pierre Florens & Elia Lapenta, 2022. "Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments," Papers 2212.11012, arXiv.org, revised Oct 2023.
  131. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  132. 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.
  133. 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.
  134. Su, Liangjun & Zheng, Xin, 2017. "A martingale-difference-divergence-based test for specification," Economics Letters, Elsevier, vol. 156(C), pages 162-167.
  135. Hidalgo, Javier, 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.
  136. Whang, Yoon-Jae, 2001. "Consistent specification testing for conditional moment restrictions," Economics Letters, Elsevier, vol. 71(3), pages 299-306, June.
  137. Marie Hušková & Simos G. Meintanis & Charl Pretorius, 2022. "Tests for heteroskedasticity in transformation models," Statistical Papers, Springer, vol. 63(4), pages 1013-1049, August.
  138. Colling, Benjamin & Van Keilegom, Ingrid, 2017. "Goodness-of-fit tests in semiparametric transformation models using the integrated regression function," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 10-30.
  139. Kuersteiner, Guido M., 2019. "Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity," Journal of Econometrics, Elsevier, vol. 211(1), pages 243-261.
  140. Jin Seo Cho & Meng Huang & Halbert White, 2021. "Testing a Constant Mean Function Using Functional Regression," Working papers 2021rwp-190, Yonsei University, Yonsei Economics Research Institute.
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