CONSISTENT MODEL SPECIFICATION TESTS

By Yanqin Fan, Qi Li. Econometric Theory, 2000

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/063e8584705b639b20432936f57c5eea51a11b61

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Statistics and Probability

Citations in the corpus

A nonparametric test for equality of distributions with mixed categorical and continuous data (2009, unknown): “alternatives. Indeed the simulation evidence reported in Fan & Li (2000) reveals strong support”
SMOOTH VARYING-COEFFICIENT ESTIMATION AND INFERENCE FOR QUALITATIVE AND QUANTITATIVE DATA (2010, unknown): “Fan and Li (2000) have shown that the Bierens’ test is equivalent to a kernel test but with fixed values for the smoothing parameters.”
Generalized spectral tests for the martingale difference hypothesis (2006, methodology): “It can be shown that the choice of W ð Þ is similar to the choice of the kernel function in non parametric smoothing, see Fan and Li (2000).”
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS (2009, background): “See Fan and Li (2000) for an interesting comparison between integrated and local approaches.”
Regression discontinuity designs with unknown discontinuity points: Testing and estimation (2015, background): “Both In and eIn measure the L2 distance between m( ) and m( ), so they are closely related; see Fan and Li (2000) for a clear argument for this point in the classical speci cation test.”
Model Checks Using Residual Marked Empirical Processes (2004, background): “(h is fixed), see Fan and Li (2000) for a comparison between the kernel based tests and the Bierens’”
A consistent model specification test with mixed discrete and continuous data (2007, methodology): “More recently, Fan and Li (2000) discuss the relationship between”