A CONSISTENT ICM-BASED $\chi^2$ SPECIFICATION TEST
提出一种基于积分条件矩的设定检验和均值独立性检验，该检验具有一致性、渐近卡方分布、计算高效且对异方差稳健，蒙特卡洛模拟显示其良好的尺寸控制和竞争性功效。
In spite of the omnibus property of integrated conditional moment (ICM) specification tests, they are not commonly used in empirical practice owing to features such as the non-pivotality of the test and the high computational cost of available bootstrap schemes, especially in large samples. This article proposes specification and mean independence tests based on ICM metrics. The proposed test exhibits consistency, asymptotic $\chi ^2$ -distribution under the null hypothesis, and computational efficiency. Moreover, it demonstrates robustness to heteroskedasticity of unknown form and can be adapted to enhance power toward specific alternatives. A power comparison with classical bootstrap-based ICM tests using Bahadur slopes is also provided. Monte Carlo simulations are conducted to showcase the excellent size control and competitive power of the proposed test.