Asymptotic Theory of Integrated Conditional Moment Tests

In this article, the authors show that a generalized version of H. J. Bierens' integrated conditional moment (ICM) test of functional form has nontrivial root-n local power, where n is the sample size, and that for a class of large local alternatives the consistent ICM test is more powerful than the parametric t test in a neighborhood of the parametric alternative involved. Moreover, they show that, under the assumption of normal errors, the ICM test is asymptotically admissible. Furthermore, since the null distribution of the ICM test is case dependent, the authors derive case-independent upperbounds of the critical values.