Bierens, Herman J.; Ploberger, Werner - In: Econometrica 65 (1997) 5, pp. 1129-1152
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...