an:01341356
Zbl 0929.62054
Li, Qi
Consistent model specification tests for time series econometric models
EN
J. Econom. 92, No. 1, 101-147 (1999).
00058550
1999
j
62G10 91B84 62G20 62P05 62P20
consistent tests; absolutely regular process; degenerate U-statistics; kernel estimation; omitted variables; partially linear model; asymptotic normality; time-series
Summary: We consider general hypothesis testing problems for nonparametric and semiparametric time-series econometric models. We apply the general methodology to construct a consistent test for omitted variables and a consistent test for a partially linear model. The proposed tests are shown to have asymptotic normal distributions under their respective null hypotheses. We also discuss the problems of testing portfolio conditional mean-variance efficiency and testing a semiparametric single index model. Monte Carlo simulations are conducted to examine the finite sample performances of the nonparametric omitted variable test and the test for a partially linear specification.