Journal Article10.1016/0304-4076(82)90105-1
Consistent model specification tests
508
TL;DR: The authors proposed two consistent tests for functional form of nonlinear regression models without employing specified alternative models based on a Fourier transform characterization of conditional expectations, where the null hypothesis is that the regression function equals the conditional expectation function and the alternative hypothesis that the null is false.
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About: This article is published in Journal of Econometrics. The article was published on 01 Oct 1982. The article focuses on the topics: Conditional variance & Kernel regression.
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References
Specification Tests in Econometrics
TL;DR: In this article, the null hypothesis of no misspecification was used to show that an asymptotically efficient estimator must have zero covariance with its difference from a consistent but asymptonically inefficient estimator, and specification tests for a number of model specifications in econometrics.
•Book
Convergence of Probability Measures
Patrick Billingsley
- 01 Jan 1968
TL;DR: Weak Convergence in Metric Spaces as discussed by the authors is one of the most common modes of convergence in metric spaces, and it can be seen as a form of weak convergence in metric space.
15K
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
5.9K
Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis
TL;DR: In this article, the authors derived the distributions of the least-squares residuals under a variety of specification errors, including omitted variables, incorrect functional form, simultaneous equation problems and heteroskedasticity.
3.2K