A Consistent Conditional Moment Test of Functional Form.

In this paper, it will be shown that any conditional moment test of functional form of nonlinear regression models can be converted into a chi-square test that is consistent against all deviations from the null hypothesis that the model represents the conditional expectation of the dependent variable relative to the vector of regressors. Copyright 1990 by The Econometric Society.

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Year of publication:	1990
Authors:	Bierens, Herman J
Published in:	Econometrica. - Econometric Society. - Vol. 58.1990, 6, p. 1443-58
Publisher:	Econometric Society

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005332848