Testing distributional assumptions using a continuum of moments

Dante Amengual, Marine Carrasco and Enrique Sentana

Journal of Econometrics, 2020, vol. 218, issue 2, 655-689

Abstract: We propose specification tests for parametric distributions that compare the potentially complex theoretical and empirical characteristic functions using the continuum of moment conditions analogue to an overidentifying restrictions test, which takes into account the correlation between influence functions for different argument values. We derive its asymptotic distribution for fixed regularization parameter and when this vanishes with the sample size. We show its consistency against any deviation from the null, study its local power and compare it with existing tests. An extensive Monte Carlo exercise confirms that our proposed tests display good power in finite samples against a variety of alternatives.

Keywords: Characteristic function; Complex Gaussian process; Consistent tests; Continuum of moment conditions; Goodness-of-fit; GMM; Tikhonov regularization (search for similar items in EconPapers)
JEL-codes: C01 C12 C52 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Testing Distributional Assumptions Using a Continuum of Moments (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:218:y:2020:i:2:p:655-689

DOI: 10.1016/j.jeconom.2020.04.033

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