Consistent model specification tests for time series econometric models Academic Article

abstract

• 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.

authors

• Li, Qi

published proceedings

• JOURNAL OF ECONOMETRICS

author list (cited authors)

• Li, Q.

citation count

• 82

complete list of authors

• Li, Q

publication date

• September 1999

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• Absolutely Regular Process
• Asymptotic Normality
• Consistent Tests
• Degenerate U-statistics
• Kernel Estimation
• Omitted Variables
• Partially Linear Model

Digital Object Identifier (DOI)

• 10.1016/S0304-4076(98)00087-6

start page

• 101

end page

• 147

volume

• 92

issue

• 1

URL

• http://dx.doi.org/10.1016/s0304-4076(98)00087-6