Consistent model specification tests - Kernel-based tests versus Bierens' ICM tests Academic Article

abstract

• We point out the close relationship between the integrated conditional moment tests in Bierens (1982, Journal of Econometrics 20, 105134) and Bierens and Ploberger (1997, Econometrica 65, 11291152) with the complex-valued exponential weight function and the kernel-based tests in Hrdle and Mammen (1993, Annals of Statistics 21, 19261947), Li and Wang (1998, Journal of Econometrics 87, 145165), and Zheng (1996, Journal of Econometrics 75, 263289). It is well established that the integrated conditional moment tests of Bierens (1982) and Bierens and Ploberger (1997) are more powerful than kernel-based nonparametric tests against Pitman local alternatives. In this paper we analyze the power properties of the kernel-based tests and the integrated conditional moment tests for a sequence of singular local alternatives, and show that the kernel-based tests can be more powerful than the integrated conditional moment tests for these singular local alternatives. These results suggest that integrated conditional moment tests and kernel-based tests should be viewed as complements to each other. Results from a simulation study are in agreement with the theoretical results.

authors

• Li, Qi

published proceedings

• ECONOMETRIC THEORY

author list (cited authors)

• Fan, Y. Q., & Li, Q.

citation count

• 67

complete list of authors

• Fan, YQ||Li, Q

publication date

• December 2000

publisher

• Cambridge University Press (CUP)  Publisher

published in

• ECONOMETRIC THEORY  Journal

keywords

• 38 Economics
• 3802 Econometrics
• 49 Mathematical Sciences
• 4905 Statistics

Digital Object Identifier (DOI)

• 10.1017/S0266466600166083

start page

• 1016

end page

• 1041

volume

• 16

issue

• 6

URL

• http://dx.doi.org/10.1017/s0266466600166083