McCulloch, J. Huston; Percy, E. Richard - In: Journal of Econometrics 172 (2013) 2, pp. 275-282
A simplified version of the Neyman (1937) “Smooth” goodness-of-fit test is extended to account for the presence of estimated model parameters, thereby removing overfitting bias. Using a Lagrange Multiplier approach rather than the Likelihood Ratio statistic proposed by Neyman greatly...