Feiyu Jiang, Emmanuel Selorm Tsyawo
arXiv 29 Aug 2022 · Econometrics
arXiv:2208.13370 · PDF · DOI · OpenAlex · Extracted main text
In spite of the omnibus property of Integrated Conditional Moment (ICM) specification tests, they are not commonly used in empirical practice owing to, e.g., the non-pivotality of the test and the high computational cost of available bootstrap schemes especially in large samples. This paper proposes specification and mean independence tests based on a class of ICM metrics termed the generalized martingale difference divergence (GMDD). The proposed tests exhibit consistency, asymptotic $\chi^2$-distribution under the null hypothesis, and computational efficiency. Moreover, they demonstrate robustness to heteroskedasticity of unknown form and can be adapted to enhance power towards specific alternatives. A power comparison with classical bootstrap-based ICM tests using Bahadur slopes is also provided. Monte Carlo simulations are conducted to showcase the proposed tests' excellent size control and competitive power.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bierens, Herman J (1982) Consistent model specification tests | 0.961 | 9 | 5 | 89% |
| 2 | Shao, Xiaofeng and Zhang, Jingsi (2014) Martingale difference correlation and its use in high-dimensional variable screening | 0.941 | 6 | 4 | 83% |
| 3 | Bierens, Herman J and Ploberger, Werner (1997) Asymptotic theory of integrated conditional moment tests | 0.941 | 6 | 3 | 83% |
| 4 | Escanciano, Juan Carlos (2024) A Gaussian process approach to model checks | 0.928 | 5 | 4 | 80% |
| 5 | Escanciano, J Carlos (2006) A consistent diagnostic test for regression models using projections | 0.928 | 5 | 4 | 80% |
| 6 | Stute, Winfried (1997) Nonparametric model checks for regression | 0.874 | 5 | 2 | 100% |
| 7 | Su, Liangjun and Zheng, Xin (2017) A martingale-difference-divergence-based test for specification | 0.843 | 4 | 4 | 75% |
| 8 | Bierens, Herman J (1990) A consistent conditional moment test of functional form | 0.843 | 4 | 3 | 75% |
| 9 | Escanciano, Juan Carlos (2009) Simple bootstrap tests for conditional moment restrictions | 0.811 | 4 | 2 | 100% |
| 10 | Sant’Anna, Pedro HC and Song, Xiaojun (2019) Specification tests for the propensity score | 0.737 | 4 | 3 | 50% |
Showing the top 10 of 68 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A Distance Covariance-based Estimator | 0.405 | 1 | 1 |
| 2 | Feasible IV Regression without Excluded Instruments | 0.405 | 1 | 1 |
| 3 | 1420 Identification with possibly invalid IVs | 0.405 | 1 | 1 |