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Econometric Reviews Volume 21, 2002 - Issue 3
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Original Articles

A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS

Yanqin Fan Department of Economics, University of Windsor, Windsor, Ontario, N9B 3P4, Canada
&
Qi Li Department of Economics, Texas A&M University, College Station, TX 77843
Pages 337-352 | Published online: 19 Aug 2006

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Mohammed M. Gharaibeh & Haiyan Wang. (2022) A new nonparametric lack-of-fit test of nonlinear regression in presence of heteroscedastic variances. Communications in Statistics - Theory and Methods 0:0, pages 1-29.
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JonathanB. Hill. (2013) Consistent GMM Residuals-Based Tests of Functional Form. Econometric Reviews 32:3, pages 361-383.
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Zijun Wang. (2009) Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series. Communications in Statistics - Theory and Methods 38:14, pages 2302-2320.
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Articles from other publishers (11)

Jun Wang, Dianpeng Wang & Yubin Tian. (2021) Multidimensional specification test based on non-stationary time series. TEST 31:2, pages 348-372.
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Feng Yao & Taining Wang. (2020) A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS. Econometric Theory 37:5, pages 959-1003.
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Bao Yong, Fan Yanqin, Su Liangjun & Zinde-Walsh Victoria. 2016. Essays in Honor of Aman Ullah. Essays in Honor of Aman Ullah 3 43 .
Feng Yao & Aman Ullah. (2013) A nonparametric R2 test for the presence of relevant variables. Journal of Statistical Planning and Inference 143:9, pages 1527-1547.
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Yongmiao Hong & Yoon-Jin Lee. (2013) A loss function approach to model specification testing and its relative efficiency. The Annals of Statistics 41:3.
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Ke-Li Xu. (2013) Powerful tests for structural changes in volatility. Journal of Econometrics 173:1, pages 126-142.
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Federico A. Bugni, Peter Hall, Joel L. Horowitz & George R. Neumann. (2009) Goodness-of-fit tests for functional data. Econometrics Journal 12, pages S1-S18.
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Peter Hall & Yanyuan Ma. (2007) Testing the suitability of polynomial models in errors-in-variables problems. The Annals of Statistics 35:6.
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Peter Hall & Tapabrata Maiti. (2006) Nonparametric estimation of mean-squared prediction error in nested-error regression models. The Annals of Statistics 34:4.
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Tae-Hwy Lee & Aman Ullah. 2003. Computer-Aided Econometrics. Computer-Aided Econometrics.
Jonathan B. Hill. (2011) Consistent GMM Residuals-Based Tests of Functional Form. SSRN Electronic Journal.
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