Consistent Specification Testing With Nuisance Parameters 
Present Only Under the Alternative

Stinchcombe, Maxwell B.; White, Halbert

doi:10.1017/s0266466698143013

Cited by 275 publications

(188 citation statements)

References 52 publications

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“…This is accomplished by constructing conditional moment tests which employ an infinite number of moment conditions (see e.g. Bierens (1982Bierens ( ,1990, Ploberger (1997), de Jong (1996), Hansen (1996a), Lee, Granger and White (1993) and Stinchcombe and White (1998), Corradi and Swanson (2002)). …”

Section: The Frameworkmentioning

confidence: 99%

Information in the Revision Process of Real-Time Datasets

2008

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In this paper we first develop two statistical tests of the null hypothesis that early release data are rational. The tests are consistent against generic nonlinear alternatives, and are conditional moment type tests, in the spirit of Bierens (1982,1990), Chao, Corradi and Swanson (2001 and Corradi and Swanson (2002). We then use this test, in conjunction with standard regression analysis in order to individually and jointly analyze a real-time dataset for money, output, prices and interest rates. All of our empirical analysis is carried out using various variable/vintage combinations, allowing us to comment not only on rationality, but also on a number of other related issues. For example, we discuss and illustrate the importance of the choice between using first, later, or mixed vintages of data in prediction. Interestingly, it turns out that early release data are generally best predicted using first releases. The standard practice of using "mixed vintages" of data appears to always yield poorer predictions, regardless of what we term "definitional change problems" associated with using only first releases for prediction. Furthermore, we note that our tests of first release rationality based on ex ante prediction find no evidence that the data rationality null hypothesis is rejected for a variety of variables (i.e. we find strong evidence in favor of the "news" hypothesis). Thus, it appears that there is little benefit to using later releases of data for prediction and policy analysis, for example.Additionally, we argue that the notion of final data is misleading, and that definitional and other methodological changes that pepper real-time datasets are important. Finally, we carry out an empirical example, where little evidence that money has marginal predictive content for output is found, regardless of whether various revision error variables are added to standard vector autoregression models of money, output, prices and interest rates.

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Section: The Frameworkmentioning

confidence: 99%

Information in the Revision Process of Real-Time Datasets

2008

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“…R +1 may be used instead (Bierens 1990). Stinchcombe and White (1998) provide the only detailed explanation for Bierens' seminal result by proving (2) for any real analytic 1 non-polynomial  (), where  0   is a¢ne (i.e. a constant term must be included) and  is bounded.…”

Section: An Interior Point Of ©mentioning

confidence: 99%

Stochastically weighted average conditional moment tests of functional form

Hill

2013

Studies in Nonlinear Dynamics and Econometrics

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We develop a new consistent conditional moment test of functional form based on nuisance parameter indexed sample moments first presented in Bierens (1982Bierens ( , 1990. We reduce the nuisance parameter space to known countable sets, which leads to a weighted average conditional moment test in the spirit of Bierens and Ploberger's (1997) Integrated Conditional Moment test. The weights are possibly stochastic in an arbitrary way, integer-indexed and flexible enough to cover a range of tests from average to higher quantile to maximum tests. The limit distribution under the null and local alternative belong to the same class as the ICM statistic, hence our test is admissible if the errors are Gaussian, and a flat weight leads to the greatest weighted average local power. * We thank two anonymous referees for their careful reading and feedback, and Editor Bruce Mizrach for helpful recommendations.

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“…Elegant solutions to this problem have been proposed in the literature on specification testing, and we shall in particular follow here the approach of Stinchcombe and White (1998). The key idea is simple: an element m ∈ L 1 (G) is equal to zero, m = 0 a.s., if and only if for every…”

Section: Existence Using Strong Cramér Conditionmentioning

confidence: 99%

Existence and Characterization of Conditional Density Projections

Komunjer

Ragusa

2015

Econom. Theory

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In this paper we propose primitive conditions under which a projection of a conditional density onto a set defined by conditional moment restrictions exists and is unique. Moreover, we provide an analytic expression of the obtained projection. The range of applications where conditional density projections are used is wide. The derived results are potentially useful in a variety of areas including: semiparametric efficient estimation and optimal testing in (conditional) moment models, Bayesian prior determination and inference in semiparametric models, density forecasting, and simulation-based econometric analysis.Regarding existence, we propose three different combinations of assumptions that are all sufficient to show that the projection exists and is unique. The proposed conditions exhibit a clear trade off between restrictions put on the divergence between the conditional densities and on the moment function which defines the projection set. Depending on the nature of the application, the researcher can pick and choose which set of conditions to use. Our second set of results characterizes the projection. The expression for the projected density is new though not surprising given the previously obtained results for the unconditional case. The projection is characterized by the dual of the original projection problem. In establishing the strong duality, however, we work with a constraint qualification condition that is weaker than that used by Borwein and Lewis (1991a, 1992a in their seminal work concerning the unconditional case.

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Consistent Specification Testing With Nuisance Parameters Present Only Under the Alternative

Cited by 275 publications

References 52 publications

Information in the Revision Process of Real-Time Datasets

Information in the Revision Process of Real-Time Datasets

Stochastically weighted average conditional moment tests of functional form

Existence and Characterization of Conditional Density Projections

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