Consistent Model Specification Testing

James Davidson () and Andreea Halunga
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Andreea Halunga: Department of Economics, University of Exeter

No 1312, Discussion Papers from University of Exeter, Department of Economics

Abstract: This paper proposes a consistent model speci?cation test that can be applied to a wide class of models and estimators, including all variants of quasi-maximum likelihood and generalized method of moments. Our framework is independent of the form of the model and generalizes Bierens?(1982, 1990) approach. It has particular applications in new cases such as heteroskedastic errors, discrete data models, but the chief appeal of our approach is that it provides a "one size ?ts all" test. We specify a test based on a linear combination of individual components of the indicator vector that can be computed routinely, does not need to be tailored to the particular model, and is expected to have power against a wide class of alternatives. Although primarily envisaged as a test of functional form, this type of moment test can also be extended to testing for omitted variables.

Keywords: speci?cation testing; quasi-maximum likelihood estimators; generalized method of moments estimators. (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-dcm and nep-ecm
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