An observation on regression-based specification tests

An observation on regression-based specification tests

The use of regression-based specification tests, such as the nR2 form of the Lagrange Multiplier test, has become quite widespread over the last 20 years. The popularization of the nR2 form of the Lagrange Multiplier (LM) test, perhaps the most widely used class of regression-based tests, has come about in large part from the ease of its application to many tests of nonlinear restrictions and i...

On the performance of nonparametric specification tests in regression models

Some recently developed nonparametric specification tests for regression models are described in a unified way. The common characteristic of these tests is that they are consistent against any alternative hypothesis. The performance of the test statistics is compared by means of Monte Carlo simulations, analysing how heteroskedasticity, number of regressors and bandwidth selection influence the...

Some Specification Tests for the Linear Regression Model

Formal Specification from an Observation-oriented Perspective

A formal speci cation of an algorithm is a very rich mathematical abstraction. In general, it not only speci es an input-output relation, but also at some level of abstraction constrains the states and transitions associated with computing this relation. This paper explores the relationship between a formal speci cation of an algorithm and the many di erent ways in which the associated states a...

Consistent model-specification tests based on parametric bootstrap

In this paper we establish consistent tests of L2-type for the parametric functional form of the conditional mean of time series with values in Rd. A recent result on asymptotic distributions of U -statistics of weakly dependent observations is invoked to obtain the limit distributions of the test statistics. Since the asymptotic distributions depend on unknown parameters in a complicated way, ...