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...

Essay 1: Integrated Conditional MomentTest for Parametric Conditional Distributions (with Herman J. Bierens)This paper extends the Integrated Conditional Moment (ICM) test for the functional form of nonlinear regression models to tests for parametric conditional distributions. This test is...