Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Nov, 1990, Volume 58, Issue 6

A Consistent Conditional Moment Test of Functional Form

https://www.jstor.org/stable/2938323
p. 1443-1458

Herman J. Bierens

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.


Log In To View Full Content

Journal News

View