M-testing Using Finite and Infinite Dimensional Parameter Estimators by Halbert White And
نویسنده
چکیده
The m-testing approach provides a general and convenient framework in which to view and construct speci cation tests for econometric models. Previous m-testing frameworks only consider test statistics that involve nite dimensional parameter estimators and in nite dimensional parameter estimators a ecting the limit distribution of the m-test statistics. In this paper we propose a new m-testing framework using both nite and in nite dimensional parameter estimators, where the latter may or may not a ect the limit distribution of the m-test. This greatly extends the potential and exibility of m-testing. The new m-testing framework can be used to test hypotheses on parametric, semiparametric and nonparametric models. Some examples are given to illustrate how to use it to develop new speci cation tests.
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