Ma, Ting Fung; Reyes, Juan Francisco Mandujano; Zhu, Jun M-estimators for models with a mix of discrete and continuous parameters. (English) Zbl 07812666 Sankhyā, Ser. A 86, No. 1, 164-190 (2024). MSC: 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Bera, Anil; Doğan, Osman; Taspinar, Suleyman Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality. (English) Zbl 1499.62087 Hacet. J. Math. Stat. 51, No. 1, 253-272 (2022). MSC: 62F03 62F05 62F35 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Fiorentini, Gabriele; Sentana, Enrique Specification tests for non-Gaussian maximum likelihood estimators. (English) Zbl 1477.62240 Quant. Econ. 12, No. 3, 683-742 (2021). MSC: 62M10 62F12 62H12 62H15 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Fiorentini, Gabriele; Sentana, Enrique New testing approaches for mean-variance predictability. (English) Zbl 1471.62494 J. Econom. 222, No. 1, Part B, 516-538 (2021). MSC: 62P05 62F03 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Bera, Anil K.; Doğan, Osman; Taşpınar, Süleyman Asymptotic variance of test statistics in the ML and QML frameworks. (English) Zbl 1458.62067 J. Stat. Theory Pract. 15, No. 1, Paper No. 2, 25 p. (2021). MSC: 62F05 62F12 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
King, Maxwell L.; Zhang, Xibin; Akram, Muhammad Hypothesis testing based on a vector of statistics. (English) Zbl 1464.62512 J. Econom. 219, No. 2, 425-455 (2020). MSC: 62P20 62F03 62G07 62H15 62M10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Yang, Xiye Time-invariant restrictions of volatility functionals: efficient estimation and specification tests. (English) Zbl 1456.62311 J. Econom. 215, No. 2, 486-516 (2020). MSC: 62P20 62M10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Bugni, Federico A.; Ura, Takuya Inference in dynamic discrete choice problems under local misspecification. (English) Zbl 1416.62656 Quant. Econ. 10, No. 1, 67-103 (2019). MSC: 62P20 62G20 62M05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Capanu, Marinela A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests. (English) Zbl 1411.62046 Statistics 53, No. 1, 58-80 (2019). Reviewer: Fraser Daly (Edinburgh) MSC: 62F05 62E20 62F03 62F40 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Xuexin A general approach to conditional moment specification testing with projections. (English) Zbl 1490.62488 Econom. Rev. 37, No. 2, 140-165 (2018). MSC: 62P20 62M10 62F03 62H15 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Yong; Yu, Jun; Zeng, Tao Specification tests based on MCMC output. (English) Zbl 1452.62944 J. Econom. 207, No. 1, 237-260 (2018). MSC: 62P20 62G10 62E20 62-08 65C40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hao, Bowen; Prokhorov, Artem; Qian, Hailong Moment redundancy test with application to efficiency-improving copulas. (English) Zbl 1402.62113 Econ. Lett. 171, 29-33 (2018). MSC: 62H15 62H05 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hansen, Bruce E. Regression kink with an unknown threshold. (English) Zbl 07924107 J. Bus. Econ. Stat. 35, No. 2, 228-240 (2017). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Akashi, Fumiya Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models. (English) Zbl 06821277 Stat. Inference Stoch. Process. 20, No. 3, 291-313 (2017). MSC: 62M10 62F03 60G52 × Cite Format Result Cite Review PDF Full Text: DOI
Murteira, José M. R.; Ramalho, Joaquim J. S. Regression analysis of multivariate fractional data. (English) Zbl 1491.62248 Econom. Rev. 35, No. 4, 515-552 (2016). MSC: 62P20 62J05 62H15 × Cite Format Result Cite Review PDF Full Text: DOI
Francq, Christian; Meintanis, Simos G. Fourier-type estimation of the power GARCH model with stable-Paretian innovations. (English) Zbl 1349.62400 Metrika 79, No. 4, 389-424 (2016). MSC: 62M10 62F10 62F12 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Su, Liangjun; Tu, Yundong; Ullah, Aman Testing additive separability of error term in nonparametric structural models. (English) Zbl 1491.62262 Econom. Rev. 34, No. 6-10, 1057-1088 (2015). MSC: 62P20 62G10 62E20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Chen, Yi-Ting; Qu, Zhongjun \(M\) tests with a new normalization matrix. (English) Zbl 1491.62195 Econom. Rev. 34, No. 5, 617-652 (2015). MSC: 62P20 62M10 62H15 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor Parametric inference and dynamic state recovery from option panels. (English) Zbl 1419.91602 Econometrica 83, No. 3, 1081-1145 (2015). MSC: 91G20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Santos Silva, João M. C.; Tenreyro, Silvana; Windmeijer, Frank Testing competing models for non-negative data with many zeros. (English) Zbl 1345.62185 J. Econom. Methods 4, No. 1, 29-46 (2015). MSC: 62P20 62F03 × Cite Format Result Cite Review PDF Full Text: DOI Link
Lee, Tae-Hwy; Xi, Zhou; Zhang, Ru Testing for neglected nonlinearity using regularized artificial neural networks. (English) Zbl 1407.62319 Ma, Jun (ed.) et al., Recent advances in estimating nonlinear models. With applications in economics and finance. New York, NY: Springer. 33-57 (2014). MSC: 62M10 62G10 62P20 62H25 62J07 68T05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Juhl, Ted; Sosa-Escudero, Walter Testing for heteroskedasticity in fixed effects models. (English) Zbl 1293.62190 J. Econom. 178, Part 3, 484-494 (2014). MSC: 62M10 62H15 62F03 62F05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hahn, Jinyong; Newey, Whitney K.; Smith, Richard J. Neglected heterogeneity in moment condition models. (English) Zbl 1293.62040 J. Econom. 178, Part 1, 86-100 (2014). MSC: 62F03 62F12 × Cite Format Result Cite Review PDF Full Text: DOI Link
Cai, Zongwu (ed.); Hong, Yongmiao (ed.); Li, Qi (ed.) Editorial: Misspecification test methods in econometrics. (English) Zbl 1293.00022 J. Econom. 178, Part 1, 1-3 (2014). MSC: 00B25 62-06 62P20 62F03 62G10 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Lucchetti, Riccardo; Pigini, Claudia A test for bivariate normality with applications in microeconometric models. (English) Zbl 1332.62424 Stat. Methods Appl. 22, No. 4, 535-572 (2013). MSC: 62P20 62F03 62F40 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique Sequential estimation of shape parameters in multivariate dynamic models. (English) Zbl 1288.62118 J. Econom. 177, No. 2, 233-249 (2013). MSC: 62L12 62M10 62P05 91B30 91G70 × Cite Format Result Cite Review PDF Full Text: DOI Link
Chen, Yi-Ting; Wang, Hung-Jen Centered-residuals-based moment estimator and test for stochastic frontier models. (English) Zbl 1491.62196 Econom. Rev. 31, No. 6, 625-653 (2012). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Bravo, Francesco Generalized empirical likelihood testing in semiparametric conditional moment restrictions models. (English) Zbl 1241.62064 Econom. J. 15, No. 1, 1-31 (2012). MSC: 62G10 62G05 62G08 62E20 62Q05 62P20 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Montes-Rojas, Gabriel; Sosa-Escudero, Walter Robust tests for heteroskedasticity in the one-way error components model. (English) Zbl 1441.62814 J. Econom. 160, No. 2, 300-310 (2011). MSC: 62P20 62F03 62F35 62J05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Todorov, Viktor Econometric analysis of jump-driven stochastic volatility models. (English) Zbl 1441.62888 J. Econom. 160, No. 1, 12-21 (2011). MSC: 62P20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Smith, Richard J. GEL criteria for moment condition models. (English) Zbl 1228.62040 Econom. Theory 27, No. 6, 1192-1235 (2011). MSC: 62G05 62G20 62G10 × Cite Format Result Cite Review PDF Full Text: DOI
Song, Weixing; Du, Juan A note on testing the regression functions via nonparametric smoothing. (English. French summary) Zbl 1349.62140 Can. J. Stat. 39, No. 1, 108-125 (2011). MSC: 62G08 62J02 62G10 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Yi-Ting Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty. (English) Zbl 1217.91142 J. Forecast. 30, No. 4, 409-450 (2011). MSC: 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Parente, Paulo M. D. C.; Smith, Richard J. GEL methods for nonsmooth moment indicators. (English) Zbl 1207.62074 Econom. Theory 27, No. 1, 74-113 (2011). MSC: 62G05 62G20 62G10 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Escanciano, Juan Carlos; Song, Kyungchul Testing single-index restrictions with a focus on average derivatives. (English) Zbl 1431.62610 J. Econom. 156, No. 2, 377-391 (2010). MSC: 62P20 62G10 62G20 × Cite Format Result Cite Review PDF Full Text: DOI
Prokhorov, Artem; Schmidt, Peter Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas. (English) Zbl 1403.62050 J. Econom. 153, No. 1, 93-104 (2009). MSC: 62G05 62H05 62G35 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Escanciano, J. Carlos On the lack of power of omnibus specification tests. (English) Zbl 1231.62079 Econom. Theory 25, No. 1, 162-194 (2009). MSC: 62G10 62F05 65C05 46N30 × Cite Format Result Cite Review PDF Full Text: DOI
Zheng, Xu Testing heteroscedasticity in nonlinear and nonparametric regressions. (English) Zbl 1176.62046 Can. J. Stat. 37, No. 2, 282-300 (2009). MSC: 62G10 62G08 62J02 65C05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Mora, Juan; Moro-Egido, Ana I. On specification testing of ordered discrete choice models. (English) Zbl 1418.62523 J. Econom. 143, No. 1, 191-205 (2008). MSC: 62P20 62F03 62G10 62H15 62E20 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Smith, Daniel R. Evaluating specification tests for Markov-switching time-series models. (English) Zbl 1198.62110 J. Time Ser. Anal. 29, No. 4, 629-652 (2008). MSC: 62M10 62M02 65C05 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Byoun, Soku Smooth goodness-of-fit specification tests under the Lagrange multiplier principle. (English) Zbl 1318.62050 Commun. Stat., Theory Methods 37, No. 3, 443-459 (2008). MSC: 62F03 × Cite Format Result Cite Review PDF Full Text: DOI
Hall, Alastair R.; Inoue, Atsushi; Jana, Kalidas; Shin, Changmock Information in generalized method of moments estimation and entropy-based moment selection. (English) Zbl 1418.62459 J. Econom. 138, No. 2, 488-512 (2007). MSC: 62P20 62B10 62F10 62H12 × Cite Format Result Cite Review PDF Full Text: DOI
Engle, Robert F.; Marcucci, Juri A long-run pure variance common features model for the common volatilities of the Dow Jones. (English) Zbl 1337.62326 J. Econom. 132, No. 1, 7-42 (2006). MSC: 62P05 91B84 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Bontemps, Christian; Meddahi, Nour Testing normality: a GMM approach. (English) Zbl 1336.62056 J. Econom. 124, No. 1, 149-186 (2005). MSC: 62F03 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kristensen, Dennis; Rahbek, Anders Asymptotics of the QMLE for a class of ARCH(\(q\)) models. (English) Zbl 1081.62065 Econom. Theory 21, No. 5, 946-961 (2005). MSC: 62M10 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Maynard, Alex Book review of: J. Davidson, Econometric theory. (English) Zbl 1435.00032 Econom. Theory 19, No. 4, 665-674 (2003). MSC: 00A17 62-02 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Choirat, Christine; Hess, Christian; Seri, Raffaello A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach. (English) Zbl 1015.60029 Ann. Probab. 31, No. 1, 63-92 (2003). MSC: 60F17 28B20 28D05 37A99 60G10 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Bollerslev, Tim; Zhou, Hao Estimating stochastic volatility diffusion using conditional moments of integrated volatility. (English) Zbl 1020.62096 J. Econom. 109, No. 1, 33-65 (2002); corrigendum ibid. 119, No. 1, 221-222 (2004). MSC: 62P05 62M05 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Aparicio, Teresa; Villanua, Inmaculada The asymptotically efficient version of the information matrix text in binary choice models. a study of size and power. (English) Zbl 1053.62514 J. Appl. Stat. 28, No. 2, 167-182 (2001). MSC: 62F03 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Santos Silva, João M. C.; Windmeijer, Frank Two-part multiple spell models for health care demand. (English) Zbl 0978.62107 J. Econom. 104, No. 1, 67-89 (2001). MSC: 62P20 62G10 91B18 × Cite Format Result Cite Review PDF Full Text: DOI
Godfrey, L. G.; Orme, C. D. On improving the robustness and reliability of Rao’s score test. (English) Zbl 0982.62017 J. Stat. Plann. Inference 97, No. 1, 153-176 (2001). MSC: 62F05 62P20 62F35 × Cite Format Result Cite Review PDF Full Text: DOI
Ahn, Seung C.; Good, David H.; Sickles, Robin C. Estimation of long-run inefficiency levels: a dynamic frontier approach. (English) Zbl 1179.62160 Econom. Rev. 19, No. 4, 461-492 (2000). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Ellison, Glenn; Ellison, Sara Fisher A simple framework for nonparametric specification testing. (English) Zbl 0968.62046 J. Econom. 96, No. 1, 1-23 (2000). MSC: 62G10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Skeels, Christopher L.; Vella, Francis A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models. (English) Zbl 0945.62125 J. Econom. 92, No. 2, 275-294 (1999). MSC: 62P20 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Qi Consistent model specification tests for time series econometric models. (English) Zbl 0929.62054 J. Econom. 92, No. 1, 101-147 (1999). MSC: 62G10 91B84 62G20 62P05 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Qi; Wang, Suojin A simple consistent bootstrap test for a parametric regression function. (English) Zbl 0943.62031 J. Econom. 87, No. 1, 145-165 (1998). MSC: 62F40 62F03 62E20 62J02 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Dastoor, Naorayex K. Testing for conditional heteroskedasticity with misspecified alternative hypotheses. (English) Zbl 1130.62402 J. Econom. 82, No. 1, 63-80 (1998). MSC: 62P20 62F03 × Cite Format Result Cite Review PDF Full Text: DOI
Lavergne, Pascal Selection of regressors in econometrics: Parametric and nonparametric methods. (English) Zbl 0923.62079 Econom. Rev. 17, No. 3, 227-273 (1998). Reviewer: J.Lillestøl (Bergen) MSC: 62J99 62G99 × Cite Format Result Cite Review PDF Full Text: DOI
Asea, Patrick K.; Blomberg, Brock Lending cycles. (English) Zbl 0886.62114 J. Econom. 83, No. 1-2, 89-128 (1998). MSC: 62P20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Fan, Yanqin; Liu, Zhenjuan A simple test for a parametric single index model. (English) Zbl 1141.62358 Opsearch 34, No. 3, 186-195 (1997). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Skeels, Christopher L.; Vella, Francis Monte Carlo evidence on the robustness of conditional moment tests in Tobit and probit models. (English) Zbl 0891.62089 Econom. Rev. 16, No. 1, 69-92 (1997). MSC: 62P20 62F35 62H15 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Glewwe, Paul A test of the normality assumption in the ordered probit model. (English) Zbl 0891.62088 Econom. Rev. 16, No. 1, 1-19 (1997). MSC: 62P20 62H15 62J12 × Cite Format Result Cite Review PDF Full Text: DOI
Zheng, John Xu A consistent test of functional form via nonparametric estimation techniques. (English) Zbl 0865.62030 J. Econom. 75, No. 2, 263-289 (1996). MSC: 62G07 62J02 62E20 62P20 62F03 × Cite Format Result Cite Review PDF Full Text: DOI
Bera, Anil K.; Zuo, Xiao-Lei Specification test for a linear regression model with ARCH process. (English) Zbl 0848.62059 J. Stat. Plann. Inference 50, No. 2, 283-308 (1996). MSC: 62P20 62M10 62J05 62H15 × Cite Format Result Cite Review PDF Full Text: DOI
Hamilton, James D. Specification testing in Markov-switching time-series models. (English) Zbl 0834.62086 J. Econom. 70, No. 1, 127-157 (1996). MSC: 62M10 62P20 62M02 × Cite Format Result Cite Review PDF Full Text: DOI
Dufour, Jean-Marie (ed.); Ghysels, Eric (ed.) Recent developments in the econometrics of structural change. (English) Zbl 0834.00024 J. Econom. 70, No. 1, 316 p. (1996). MSC: 00B15 62-06 × Cite Format Result Cite Review PDF
Brock, W. A.; Dechert, W. D.; Scheinkman, J. A.; Le Baron, B. A test for independence based on the correlation dimension. (English) Zbl 0893.62034 Econom. Rev. 15, No. 3, 197-235 (1996). MSC: 62G10 62M10 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Ahn, Seung C.; Schmidt, Peter A separability result for GMM estimation, with applications to GLS prediction and conditional moment tests. (English) Zbl 0832.62046 Econom. Rev. 14, No. 1, 19-34 (1995). MSC: 62H12 62F10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Johansson, Per Tests for serial correlation and overdispersion in a count data regression model. (English) Zbl 0879.62082 J. Stat. Comput. Simulation 53, No. 3-4, 153-164 (1995). MSC: 62M10 62F03 × Cite Format Result Cite Review PDF Full Text: DOI
Kuan, Chung-Ming; White, Halbert Artificial neural networks: An econometric perspective. (With comments). (English) Zbl 0832.62101 Econom. Rev. 13, No. 1, 1-103 (1994). MSC: 62P20 68T05 × Cite Format Result Cite Review PDF Full Text: DOI
Vuong, Quang H.; Wang, Weiren Minimum chi-square estimation and tests for model selection. (English) Zbl 0776.62088 J. Econom. 56, No. 1-2, 141-168 (1993). MSC: 62P20 62F10 62E20 62F05 × Cite Format Result Cite Review PDF Full Text: DOI
Whang, Yoon-Jae; Andrews, Donald W. K. Tests of specification for parametric and semiparametric models. (English) Zbl 0786.62029 J. Econom. 57, No. 1-3, 277-318 (1993). Reviewer: Rasul A. Khan (Cleveland) MSC: 62F03 62F99 62J05 × Cite Format Result Cite Review PDF Full Text: DOI
Booth, G. Geoffrey; Hatem, John; Virtanen, Ilkka; Yli-Olli, Paavo Stochastic modeling of security returns: Evidence from the Helsinki stock exchange. (English) Zbl 0825.90224 Eur. J. Oper. Res. 56, No. 1, 98-106 (1992). MSC: 91B84 62P20 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Wooldridge, Jeffrey M. On the application of robust, regression-based diagnostics to models of conditional means and conditional variances. (English) Zbl 0725.62064 J. Econom. 47, No. 1, 5-46 (1991). MSC: 62J20 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Jaggia, Sanjiv Tests of moment restrictions in parametric duration models. (English) Zbl 0800.62793 Econ. Lett. 37, No. 1, 35-38 (1991). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Pötscher, Benedikt M; Prucha, Ingmar R. Basic structure of the asymptotic theory in dynamic nonlinear econometric models. II: Asymptotic normality (with discussion). (English) Zbl 0761.62170 Econom. Rev. 10, No. 3, 253-325 (1991). Reviewer: J.K.Sengupta (Santa Barbara) MSC: 62P20 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Gallant, A. Ronald; Hansen, Lars Peter; Tauchen, George Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. (English) Zbl 0709.62103 J. Econom. 45, No. 1-2, 141-179 (1990). Reviewer: R.Fahrion MSC: 62P20 62G07 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Kalaba, R.; Tesfatsion, L. Sequential nonlinear estimation with nonaugmented priors. (English) Zbl 0631.62092 J. Optimization Theory Appl. 60, No. 3, 421-438 (1989). MSC: 62L12 93E10 × Cite Format Result Cite Review PDF Full Text: DOI