A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS

DOI10.1017/S0266466614000644zbMath1442.62737OpenAlexW2119675125MaRDI QIDQ3450351

Manuel Domínguez, Ignacio N. Lobato

Publication date: 3 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000644

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Inference on conditional moment restriction models with generated variables ⋮ Specification testing with estimated variables

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Consistent model specification tests
• Nonparametric model checks for regression
• Nonparametric model checks for time series
• The Estimation of Economic Relationships using Instrumental Variables
• Semiparametric estimation of the Box-Cox transformation model
• ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
• Asymptotic Theory of Integrated Conditional Moment Tests
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Unnamed Item

This page was built for publication: A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS