ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS

DOI10.1017/S0266466608090051zbMath1231.62079OpenAlexW2166953308MaRDI QIDQ3551019

Juan Carlos Escanciano

Publication date: 8 April 2010

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

Full work available at URL: https://doi.org/10.1017/s0266466608090051

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Applications of functional analysis in probability theory and statistics (46N30) Asymptotic properties of parametric tests (62F05)

Related Items (24)

Generalized empirical likelihood testing in semiparametric conditional moment restrictions models ⋮ An automatic portmanteau test for serial correlation ⋮ A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS ⋮ Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View ⋮ Asymptotic distribution-free tests for semiparametric regressions with dependent data ⋮ An updated review of goodness-of-fit tests for regression models ⋮ On Sobolev tests of uniformity on the circle with an extension to the sphere ⋮ Goodness-of-fit tests in conditional duration models ⋮ On the Asymptotic Efficiency of Directional Models Checks for Regression ⋮ Data-driven smooth tests for the martingale difference hypothesis ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ Testing distributional assumptions using a continuum of moments ⋮ Omnibus test for covariate effects in conditional copula models ⋮ Revisiting Tests for Neglected Nonlinearity Using Artificial Neural Networks ⋮ Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications ⋮ Testing single-index restrictions with a focus on average derivatives ⋮ Constructing smooth tests without estimating the eigenpairs of the limiting process ⋮ Specification tests of parametric dynamic conditional quantiles ⋮ Specification tests for the propensity score ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models ⋮ Inferential procedures based on the integrated empirical characteristic function ⋮ Goodness-of-fit procedures for compound distributions with an application to insurance ⋮ A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS ⋮ Fourier–type tests involving martingale difference processes

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