On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity
检验条件矩数量趋于无穷时卡方型检验的极限行为
In this paper, a consistent model specification test is proposed. Some consistent model specification tests have been discussed in econometrics literature. Those tests are consistent by randomization, display a discontinuity in sample size, or have an asymptotic distribution that depends on the data-generating process and on the model, whereas our test does not have one of those disadvantages. Our test can be viewed upon as a conditional moment test as proposed by Newey but…