Cui Rui, Li Yuhao
arXiv 15 Mar 2024 · Econometrics
arXiv:2403.10352 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a novel goodness-of-fit test technique for parametric conditional distributions. The proposed tests are based on a residual marked empirical process, for which we develop a conditional Principal Component Analysis. The obtained components provide a basis for various types of new tests in addition to the omnibus one. Component tests that based on each component serve as experts in detecting certain directions. Smooth tests that assemble a few components are also of great use in practice. To further improve testing performance, we introduce a component selection approach, aiming to identify the most contributory components. The finite sample performance of the proposed tests is illustrated through Monte Carlo experiments.
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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 | Andrews, Donald WK (1997) A conditional Kolmogorov test | 0.874 | 5 | 2 | 100% |
| 2 | Bierens, Herman J (1982) Consistent model specification tests | 0.874 | 5 | 2 | 100% |
| 3 | Bierens, Herman J and Li Wang (2012) Integrated conditional moment tests for parametric conditional distributions | 0.737 | 3 | 2 | 100% |
| 4 | Durbin, James and Martin Knott (1972) Components of Cramér–von Mises statistics | 0.737 | 3 | 2 | 100% |
| 5 | Escanciano, J Carlos (2006) A consistent diagnostic test for regression models using projections | 0.737 | 3 | 2 | 100% |
| 6 | Stute, Winfried (1997) Nonparametric model checks for regression | 0.737 | 3 | 2 | 100% |
| 7 | Bierens, Herman J and Werner Ploberger (1997) Asymptotic theory of integrated conditional moment tests | 0.644 | 2 | 2 | 100% |
| 8 | Delgado, Miguel A and Wenceslao González Manteiga (2001) Significance testing in nonparametric regression based on the bootstrap | 0.644 | 2 | 2 | 100% |
| 9 | Durbin, James, Martin Knott, and CC Taylor (1975) Components of Cramér-Von Mises Statistics | 0.644 | 2 | 2 | 100% |
| 10 | Fan, Yanqin and Qi Li (2000) Consistent model specification tests: Kernel-based tests versus Bierens' ICM tests | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 22 scored citations.