A Martingale Difference-Divergence-based test for specification

A Martingale Difference-Divergence-based test for specification

In this paper we propose a novel consistent model specification test based on the martingale difference divergence (MDD) of the error term given the covariates. The MDD equals zero if and only if error term is conditionally mean independent of the covariates. Our MDD test does not require any nonpar...

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Bibliographic Details
Main Authors: SU, Liangjun, ZHENG, Xin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Distance covariance
Integrated conditional moment test
Martingale difference divergence
Martingale difference correlation
Specification test
Behavioral Economics
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2054
https://ink.library.smu.edu.sg/context/soe_research/article/3053/viewcontent/1_s20_S0165176517301805_main.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2054
https://ink.library.smu.edu.sg/context/soe_research/article/3053/viewcontent/1_s20_S0165176517301805_main.pdf

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