{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,3]],"date-time":"2026-09-03T14:23:54Z","timestamp":1788445434857,"version":"build-2803163510"},"reference-count":18,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2014,10,27]],"date-time":"2014-10-27T00:00:00Z","timestamp":1414368000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2015,8]]},"abstract":"<jats:p>Despite their theoretical advantages, Integrated Conditional Moment (ICM) specification tests are not commonly employed in the econometrics practice. An important reason is that the employed test statistics are nonpivotal, and so critical values are not readily available. This article proposes an omnibus test in the spirit of the ICM tests of Bierens and Ploberger (1997, <jats:italic>Econometrica<\/jats:italic> 65, 1129\u20131151) where the test statistic is based on the minimized value of a quadratic function of the residuals of time series econometric models. The proposed test falls under the category of overidentification restriction tests started by Sargan (1958, <jats:italic>Econometrica<\/jats:italic> 26, 393\u2013415). The corresponding projection interpretation leads us to propose a straightforward wild bootstrap procedure that requires only linear regressions to estimate the critical values irrespective of the model functional form. Hence, contrary to other existing ICM tests, the critical values are easily calculated while the test preserves the admissibility property of ICM tests.<\/jats:p>","DOI":"10.1017\/s0266466614000644","type":"journal-article","created":{"date-parts":[[2014,10,27]],"date-time":"2014-10-27T08:42:34Z","timestamp":1414399354000},"page":"891-910","source":"Crossref","is-referenced-by-count":9,"title":["A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS"],"prefix":"10.1017","volume":"31","author":[{"given":"Manuel A.","family":"Dom\u00ednguez","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ignacio N.","family":"Lobato","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2014,10,27]]},"reference":[{"key":"S0266466614000644_ref17","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1080\/01621459.1998.10474096","article-title":"Bootstrap approximations in model checks for regression","volume":"83","author":"Stute","year":"1998","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466614000644_ref8","unstructured":"Dom\u00ednguez, M.A. & Lobato, I.N. (2010) Consistent inference in models defined by conditional moment restrictions: An alternative to GMM. 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