Search Results - subject:"conditional moment tests"

Robust parametric tests of constant conditional correlation in a MGARCH model

Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576

Persistent link: https://www.econbiz.de/10012039397

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10010263752

Testing Multiplicative Error Models Using Conditional Moment Tests

Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

Error Models Using Conditional Moment Tests∗ Nikolaus Hautsch† Humboldt-Universit¨at zu Berlin, CASE, CFS, QPL November 2008 …-of-sample moment restrictions, such as orthogonalities of prediction errors. Keywords: Robust Conditional Moment Tests, Finite Sample … concludes. 2 Conditional Moment Tests for Multiplicative Error Models 2.1 Model Framework and Assumptions Let {yt}, t = 1,...,T …

Persistent link: https://www.econbiz.de/10005652786

Bootstrapping a conditional moments test for normality after tobit estimation

Drukker, David M. - 2002

conditional moment tests were first developed by Newey (1985) and Tauchen (1985), they appeared to offer a wide range of easy …

Persistent link: https://www.econbiz.de/10009442280

Bootstrapping a conditional moments test for normality after tobit estimation

Drukker, David M. - In: Stata Journal 2 (2002) 2, pp. 125-139

conditional moment tests were first developed by Newey (1985) and Tauchen (1985),they appeared to offer a wide range of easy …

Persistent link: https://www.econbiz.de/10005178350

Nonparametric Least Squares Regression and Testing in Economic Models

Yatchew, Adonis; Bos, Len - University of Toronto, Department of Economics - 1997

Persistent link: https://www.econbiz.de/10005827282

How Large is the BIas in Self-Reported Disability Status?

Benitez-Silva, Hugo; Buchinsky, Moshe; Chan, Hiu-Man; … - Economics Department, State University of New … - 1999

A pervasive concern with the use of self-reported health and disability measures in behavioral models is that they are biased and endogenous. A commonly suggested explanation is that survey respondents exaggerate the severity of health problems and incidence of disabilities in order to...

Persistent link: https://www.econbiz.de/10005222414

Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models

Skeels, Christopher; Vella, Franics - In: Econometric Reviews 16 (1997) 1, pp. 69-92

This paper numerically examines the size robustness of various conditional moment tests in misspecified tobit and …

Persistent link: https://www.econbiz.de/10005511961