Chi-Square Diagnostic Tests for Econometric Models: Theory
将皮尔逊卡方检验方法扩展到带协变量的非动态参数计量经济模型，基于数据依赖的随机单元格和任意渐近正态估计量，建立了检验统计量在原假设和局部备择假设下的渐近分布，可用于检验参数模型的拟合优度或特定方面。
This paper extends the Pearson chi-square testing method to nondynamic parametric econometric models, in particular, to models with covariates. The paper establishes the asymptotic distribution of the test statistic under the null and local alternatives when the test statistic is based on data-dependent random cells of a general form and on an arbitrary asymptotically normal estimator. These results are attained by extending recent probabilistic results for the weak convergence of empirical processes indexed by sets. The chi-square test that is introduced can be used to test goodness-of-fit of a parametric model, as well as to test particular aspects of the parametric model that are of interest.