Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

In this article, we propose a weighted simulated integrated conditional moment (WSICM) test of the validity of parametric specifications of conditional distribution models for stationary time series data, by combining the weighted integrated conditional moment (ICM) test of Bierens ( 1984 ) for time...

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Bibliographic Details
Published inEconometric reviews Vol. 36; no. 1-3; pp. 103 - 135
Main Authors Bierens, Herman J., Wang, Li
Format Journal Article
LanguageEnglish
Published New York Taylor & Francis 16.03.2017
Taylor & Francis Ltd
Subjects
Characteristic functions
Computer simulation
Consistency
consistent tests
Cross sections
Econometrics
Economic models
parametric conditional distributions
Regression
Regression analysis
simulated integrated method of moments
Specifications
stationary time series
Time series
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Summary:In this article, we propose a weighted simulated integrated conditional moment (WSICM) test of the validity of parametric specifications of conditional distribution models for stationary time series data, by combining the weighted integrated conditional moment (ICM) test of Bierens ( 1984 ) for time series regression models with the simulated ICM test of Bierens and Wang ( 2012 ) of conditional distribution models for cross-section data. To the best of our knowledge, no other consistent test for parametric conditional time series distributions has been proposed yet in the literature, despite consistency claims made by some authors.
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ISSN:0747-4938
1532-4168
DOI:10.1080/07474938.2015.1114275