A simple specification test for conditional moment restrictions

References

• Bierens , HJ . 1984 . Model specification testing of time series regressions . Journal of Econometrics , 26 : 323 – 53 .
   Web of Science ®Google Scholar
• Bierens , HJ and Ploberger , W . 1997 . Asymptotic theory of integrated conditional moment tests . Econometrica , 65 : 1129 – 51 .
   Web of Science ®Google Scholar
• Chen , Y-T and Kuan , C-M . 2002 . Time irreversibility and EGARCH effects in US stock index returns . Journal of Applied Econometrics , 17 : 565 – 78 .
   Web of Science ®Google Scholar
• Kuan , C-M and Lee , W-M . 2004 . “ A new test of the martingale difference hypothesis ” . In Studies in Nonlinear Dynamics and Econometrics 8.4, Article 1
   Google Scholar
• McCracken , MW . 2004 . Parameter estimation and tests of equal forecast accuracy between nonnested models . International Journal of Forecasting , 20 : 503 – 14 .
   Web of Science ®Google Scholar
• Newey , WK . 1985 . Maximum likelihood specification testing and conditional moment tests . Econometrica , 53 : 1047 – 70 .
   Web of Science ®Google Scholar
• Tauchen , G . 1985 . Diagnostic testing and evaluation of maximum likelihood model . Journal of Econometrics , 30 : 415 – 43 .
   Web of Science ®Google Scholar
• Weiss , AA . 1991 . Estimating nonlinear dynamic models using least absolute error estimation . Econometric Theory , 7 : 46 – 68 .
   Web of Science ®Google Scholar
• Whang , Y-J . 2001 . Consistent specification testing for conditional moment restrictions . Economics Letters , 71 : 299 – 306 .
   Web of Science ®Google Scholar
• White , H . 2001 . Asymptotic Theory for Econometricians, , revised , Orlando : Academic Press .
   Google Scholar