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The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics

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  • E Fe-Rodriguez
  • C D Orme
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  • E Fe-Rodriguez & C D Orme, 2005. "The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics," Economics Discussion Paper Series 0504, Economics, The University of Manchester.
    • Handle: RePEc:man:sespap:0504
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    File URL: http://hummedia.manchester.ac.uk/schools/soss/economics/discussionpapers/EDP-0504.pdf
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    References listed on IDEAS

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    1. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
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    9. Hsiao, Cheng & Li, Qi, 2001. "A Consistent Test For Conditional Heteroskedasticity In Time-Series Regression Models," Econometric Theory, Cambridge University Press, vol. 17(1), pages 188-221, February.
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    12. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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    14. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-1070, September.
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    16. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(3), pages 451-477, June.
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