Stochastically Weighted Average Conditional Moment Tests of Functional Form
نویسنده
چکیده
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, where the weights are possibly stochastic in an arbitrary way, integer-indexed and ‡exible enough to cover a range of tests from Crámer-von Mises to Kolmogorov-Smirnov. Using a variety of weights the test statistic obtains power that nearly matches most powerful tests against a variety of alternatives. ¤Dept. of Economics, University of North Carolina -Chapel Hil l; [email protected]; http://www.unc.edu/»jbhil l. JEL classi...cation: C12, C45 , C52.
منابع مشابه
Evaluation of Model-Based Methods in Estimating Dynamic Functional Connectivity of Brain Regions
Today, neuroscientists are interested in discovering human brain functions through brain networks. In this regard, the evaluation of dynamic changes in functional connectivity of the brain regions by using functional magnetic resonance imaging data has attracted their attention. In this paper, we focus on two model-based approaches, called the exponential weighted moving average model and the d...
متن کاملConsistent Model Specification Tests∗
This paper reviews the literature on tests for the correct specification of the functional form of parametric conditional expectation and conditional distribution models. In particular I will discuss various versions of the Integrated Conditional Moment (ICM) test and the ideas behind them.
متن کاملIntegrated Conditional Moment Tests for Parametric Conditional Distributions of Stationary Time Series Processes
In this paper we propose a weighted integrated conditional moment (ICM) test of the validity of parametric specifications of conditional distribution models for stationary time series, by extending the weighted ICM test of Bierens (1984) for time series regression models to complete parametric conditional distribution specifications. ∗Support for research within the Center for the Study of Auct...
متن کاملThe Almost Sure Convergence for Weighted Sums of Linear Negatively Dependent Random Variables
In this paper, we generalize a theorem of Shao [12] by assuming that is a sequence of linear negatively dependent random variables. Also, we extend some theorems of Chao [6] and Thrum [14]. It is shown by an elementary method that for linear negatively dependent identically random variables with finite -th absolute moment the weighted sums converge to zero as where and is an array of...
متن کامل