INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS

B-Tier
Journal: Econometric Theory
Year: 2012
Volume: 28
Issue: 2
Pages: 328-362

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:28:y:2012:i:02:p:328-362_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24