M-Testing Using Finite and Infinite Dimensional Parameter Estimators

Halbert White and Yongmiao Hong

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: The m-testing approach provides a general and convenient framework in which to view and construct specification tests for econometric models. Previous m-testing frameworks only consider test statistics that involve finite dimensional parameter estimators and infinite dimensional parameter estimators affecting the limit distribution of the m-test statistics. In this paper we propose a new m-testing framework using both finite and infinite dimensional parameter estimators, where the latter may or may not affect the limit distribution of the m-test. This greatly extends the potential and flexibility of m-testing. The new m-testing framework can be used to test hypotheses on parametric, semiparametric and nonparametric models. Some examples are given to illustrate how to use it to develop new specification tests

Keywords: consistent specification test; infinite dimensional parameter; nonparametric estimation; m-testing (search for similar items in EconPapers)
Date: 1999-01-01
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Citations: View citations in EconPapers (3)

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