Author:
Bierens Herman J.,Wang Li
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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
18 articles.
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