A CONSISTENT TEST OF CONDITIONAL PARAMETRIC DISTRIBUTIONS

By J. Zheng. Econometric Theory, 2000

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Entropy and predictability of stock market returns (2002, background): “For instan e, Robinson(1991), Delgado (1994), Hong & White (2000), and Zheng (2000) are all on erned with theKL measure for testing independen e.”
Handbook of survival analysis (2014, methodology): “When the interest only lies in checking the linearity between covariates and conditional quantile at a single quantile level, one can adapt the approaches developed for uncensored data, for example, the work by Zheng (2000), Horowitz and Spokoiny (2002), and He and Zhu (2003).”
Testing Parametric Conditional Distributions of Dynamic Models (2003, methodology): “Zheng (2000) provides a test based on the KullbackLeibler information criterion together with kernel estimation of the underlying distributions.”
Distribution free specification tests of conditional models (2008, methodology): “(2004). Zheng (2000) has extended the smoothing approach to speci…cation tests”