On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity

R.M. de Jong and Herman J. Bierens

Econometric Theory, 1994, vol. 10, issue 01, pages 70-90

Abstract: In this paper, a consistent model specification test is proposed. Some consistent model specification tests have been discussed in econometrics literature. Those tests are consistent by randomization, display a discontinuity in sample size, or have an asymptotic distribution that depends on the data-generating process and on the model, whereas our test does not have one of those disadvantages. Our test can be viewed upon as a conditional moment test as proposed by Newey but instead of a fixed number of conditional moments, an asymptotically infinite number of moment conditions is employed. The use of an asymptotically infinite number of conditional moments will make it possible to obtain a consistent test. Computation of the test statistic is particularly simple, since in finite samples our statistic is equivalent to a chi-square conditional moment test of a finite number of conditional moments.

Date: 1994
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