Economics at your fingertips  

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

Robert de Jong and Herman Bierens

Econometric Theory, 1994, vol. 10, issue 01, 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
References: Add references at CitEc
Citations: View citations in EconPapers (27) Track citations by RSS feed

Downloads: (external link) link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Page updated 2019-10-08
Handle: RePEc:cup:etheor:v:10:y:1994:i:01:p:70-90_00