函数形式的一致条件矩检验

A Consistent Conditional Moment Test of Functional Form

Econometrica · 1990
被引 445
人大 A+FT50ABS 4*

中文导读

证明任何非线性回归模型函数形式的条件矩检验都可转化为卡方检验,该检验对模型设定错误具有一致性。

Abstract

In this paper, it will be shown that any conditional moment test of functional form of nonlinear regression models can be converted into a chi-square test that is consistent against all deviations from the null hypothesis that the model represents the conditional expectation of the dependent variable relative to the vector of regressors. Copyright 1990 by The Econometric Society.

条件矩检验函数形式设定非线性回归卡方检验