Resource title

Testing multiplicative error models using conditional moment tests

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Resource description

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification. Monte-Carlo investigations show that an appro priate choice of weighting function induces high power against various alternatives. We illustrate how to adapt the framework to test also out-of-sample moment restrictions, such as orthogonalities of prediction errors.

Resource author

Nikolaus Hautsch

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25310

Resource license

Adapt according to the presented license agreement and reference the original author.