Integrated conditional moment tests for parametric conditional distributions

Herman J. Bierens, Li Wang

Research output: Contribution to journalArticlepeer-review

14 Scopus citations

Abstract

In this paper we propose consistent integrated conditional moment tests for the validity of parametric conditional distribution models, based on the integrated squared difference between the empirical characteristic function of the actual data and the characteristic function implied by the model. To avoid numerical evaluation of the conditional characteristic function of the model distribution, a simulated integrated conditional moment test is proposed. As an empirical application we test the validity of a few common health economic count data models.

Original languageEnglish (US)
Pages (from-to)328-362
Number of pages35
JournalEconometric Theory
Volume28
Issue number2
DOIs
StatePublished - Apr 2012

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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