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...

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Veröffentlicht in:	Econometrica 1990-11, Vol.58 (6), p.1443-1458
1. Verfasser:	Bierens, Herman J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Chi-square test Economic models Exact sciences and technology Hypotheses Least squares Lebesgue measures Mathematical independent variables Mathematical moments Null hypothesis Operational research and scientific management Operational research. Management science Random variables Regression analysis Statistical theories Tests Time series models Weighting functions
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Beschreibung
Zusammenfassung:	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.
ISSN:	0012-9682 1468-0262
DOI:	10.2307/2938323