Semi-Analytic Asymptotic Distribution for Integrated Conditional Moment Tests

23 Pages Posted: 26 Nov 2019 Last revised: 12 Feb 2024

See all articles by Stoyan V. Stoyanov

Stoyan V. Stoyanov

Charles Schwab

Hasan Fallahgoul

Monash University ; Monash University

Date Written: February 24, 2023

Abstract

The paper proposes a new integrated conditional moment test for model adequacy
closely related to the tests studied in Bierens (1982) and Bierens & Ploberger (1997). The
modification allows for an explicit numerical approximation of its asymptotic distribution
using the FFT method and is shown to have a non-trivial √𝑛-local power.

Keywords: model adequacy, non-linear models

JEL Classification: C12, C52

Suggested Citation

Stoyanov, Stoyan Veselinov and Fallahgoul, Hasan A and Fallahgoul, Hasan A, Semi-Analytic Asymptotic Distribution for Integrated Conditional Moment Tests (February 24, 2023). Available at SSRN: https://ssrn.com/abstract=3486642 or http://dx.doi.org/10.2139/ssrn.3486642

Stoyan Veselinov Stoyanov (Contact Author)

Charles Schwab ( email )

101 Montgomery Street (120K-15)
San Francisco, CA 94104
United States

Hasan A Fallahgoul

Monash University ( email )

Clayton Campus
Victoria, 3800
Australia

HOME PAGE: http://www.hfallahgoul.com

Monash University ( email )

Clayton Campus
Victoria, 3800
Australia

HOME PAGE: http://www.hfallahgoul.com

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