On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity
提出一种模型设定检验，通过使用渐近无穷多个条件矩条件实现一致性，避免了现有检验的随机化、样本量不连续或分布依赖数据生成过程等缺陷，且统计量计算简单。
In this paper, a consistent model specification test is proposed. Some consistent model specification tests have been discussed in econometrics literature. Those tests are consistent by randomization, display a discontinuity in sample size, or have an asymptotic distribution that depends on the data-generating process and on the model, whereas our test does not have one of those disadvantages. Our test can be viewed upon as a conditional moment test as proposed by Newey but instead of a fixed number of conditional moments, an asymptotically infinite number of moment conditions is employed. The use of an asymptotically infinite number of conditional moments will make it possible to obtain a consistent test. Computation of the test statistic is particularly simple, since in finite samples our statistic is equivalent to a chi-square conditional moment test of a finite number of conditional moments.