A general approach to conditional moment specification testing with projections

DOI10.1080/07474938.2015.1032165zbMath1490.62488OpenAlexW2301217824MaRDI QIDQ5034243

Xuexin Wang

Publication date: 24 February 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2015.1032165

zbMATH Keywords

efficient testsGARCH model specification testingconditional moment (CM) testestimation effect removal

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

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A new class of tests for overidentifying restrictions in moment condition models

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