A martingale-difference-divergence-based test for specification

DOI10.1016/j.econlet.2017.05.002zbMath1400.62098OpenAlexW2612581392MaRDI QIDQ1673555

Xin Zheng, Liangjun Su

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2054

zbMATH Keywords

distance covariancespecification testintegrated conditional moment testmartingale difference correlationmartingale difference divergence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (3)

A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression ⋮ A kernel-based measure for conditional mean dependence ⋮ Martingale-difference-divergence-based tests for goodness-of-fit in quantile models

Cites Work

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• CONSISTENT MODEL SPECIFICATION TESTS
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• A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
• A Consistent Conditional Moment Test of Functional Form
• Asymptotic Theory of Integrated Conditional Moment Tests
• Feature Screening via Distance Correlation Learning
• Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening
• Testing Conditional Independence Restrictions
• Asymptotic Properties of Non-Linear Least Squares Estimators

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