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A CONSISTENT ICM-BASED $\chi^2$ SPECIFICATION TEST

Feiyu Jiang & Emmanuel Selorm Tsyawo

Econometric Theory2026https://doi.org/10.1017/s0266466626100437article
AJG 4ABDC A*
Weight
0.50

What the paper says

In spite of the omnibus property of integrated conditional moment (ICM) specification tests, they are not commonly used in empirical practice owing to features such as the non-pivotality of the test and the high computational cost of available bootstrap schemes, especially in large samples. This article proposes specification and mean independence tests based on ICM metrics. The proposed test exhibits consistency, asymptotic $\chi ^2$ -distribution under the null hypothesis, and computational efficiency. Moreover, it demonstrates robustness to heteroskedasticity of unknown form and can be adapted to enhance power toward specific alternatives. A power comparison with classical bootstrap-based ICM tests using Bahadur slopes is also provided. Monte Carlo simulations are conducted to showcase the excellent size control and competitive power of the proposed test.

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https://doi.org/https://doi.org/10.1017/s0266466626100437

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@article{feiyu2026,
  title        = {{A CONSISTENT ICM-BASED $\chi^2$ SPECIFICATION TEST}},
  author       = {Feiyu Jiang & Emmanuel Selorm Tsyawo},
  journal      = {Econometric Theory},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1017/s0266466626100437},
}

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A CONSISTENT ICM-BASED $\chi^2$ SPECIFICATION TEST

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.