M-testing Using Finite and Infinite Dimensional Parameter Estimators by Halbert White and Yongmiao Hong

@inproceedings{White1999MtestingUF,
  title={M-testing Using Finite and Infinite Dimensional Parameter Estimators by Halbert White and Yongmiao Hong},
  author={Halbert White and Yongmiao Hong and Randy Eubank and Clive Granger and Kurt Honik and S Lee and Whitney K. Newey and Yosef Rinott and Max Stinchcombe and Jee Wooldridge},
  year={1999}
}
The m-testing approach provides a general and convenient framework in which to view and construct speci cation tests for econometric models. Previous m-testing frameworks only consider test statistics that involve nite dimensional parameter estimators and in nite dimensional parameter estimators a ecting the limit distribution of the m-test statistics. In… CONTINUE READING