Consistent GMM Residuals-Based Tests of Functional Form

Jonathan B. Hill

Econometric Reviews, 2013, vol. 32, issue 3, 361-383

Abstract: This paper presents a consistent Generalized Method of Moments (GMM) residuals-based test of functional form for time series models. By relating two moments we deliver a vector moment condition in which at least one element must be nonzero if the model is misspecified. The test will never fail to detect misspecification of any form for large samples, and is asymptotically chi-squared under the null, allowing for fast and simple inference. A simulation study reveals randomly selecting the nuisance parameter leads to more power than supremum-tests, and can obtain empirical power nearly equivalent to the most powerful test for even relatively small n .

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2012.690662 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:emetrv:v:32:y:2013:i:3:p:361-383

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2012.690662

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().