Semi-Analytic Asymptotic Distribution for Integrated Conditional Moment Tests
23 Pages Posted: 26 Nov 2019 Last revised: 12 Feb 2024
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: 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
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