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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |