Consistent model specification tests for time series econometric models Academic Article uri icon


  • In this paper we consider general hypothesis testing problems for nonparametric and semiparametric time-series econometric models. We apply the general methodology to construct a consistent test for omitted variables and a consistent test for a partially linear model. The proposed tests are shown to have asymptotic normal distributions under their respective null hypotheses. We also discuss the problems of testing portfolio conditional mean-variance efficiency and testing a semiparametric single index model. Monte Carlo simulations are conducted to examine the finite sample performances of the nonparametric omitted variable test and the test for a partially linear specification. 1999 Published by Elsevier Science S.A. All rights reserved.

published proceedings


author list (cited authors)

  • Li, Q.

citation count

  • 82

complete list of authors

  • Li, Q

publication date

  • September 1999