A Consistent Conditional Moment Test of Functional Form

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Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form: Supplemental Appendix

Stochastically Weighted Average Conditional Moment Tests of Functional Form

We develop a new consistent conditional moment test of functional form based on nuisance parameter indexed sample moments. We reduce the nuisance parameter space to known countable sets, provide a new vantage into why existing parametric moment condition tests work, and uncover a new class of revealing weights. These results are exploited to construct a weighted average conditional moment test,...

An Improved Consistent Conditional Moment Test for Regression Models in the Presence of Heteroskedasticity of Unknown Form

The purpose of this paper is to propose a simple approach to consistent testing of specification of parametric regression models which is robust and efficient under heteroskedasticity of unknown form. We exploit the duality property of one class of weighting functions for both consistent specification testing and efficient estimation of regression models. An innovative residual empirical proces...

Consistent Parameter Estimation for Conditional Moment Restrictions

In estimating conditional moment restrictions, a well known difficulty is that the estimator based on a set of implied unconditional moments may lose its consistency when the parameters of interest are not globally identified. In this paper, we consider a continuum of unconditional moments that are equivalent to the postulated conditional moments and can identify the parameters of interest. We ...