![]() We employ the dynamic fixed effects model to determine the key drivers of sovereign bond spreads. This paper investigates the determinants of the sovereign risk premium in African countries. Hence, contrary to other existing ICM tests, the critical values are easily calculated while the test preserves the admissibility property of ICM tests. 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. The proposed test falls under the category of overidentification restriction tests started by Sargan (1958, Econometrica 26, 393–415). This article proposes an omnibus test in the spirit of the ICM tests of Bierens and Ploberger (1997, Econometrica 65, 1129–1151) where the test statistic is based on the minimized value of a quadratic function of the residuals of time series econometric models. An important reason is that the employed test statistics are nonpivotal, and so critical values are not readily available. ![]() Despite their theoretical advantages, Integrated Conditional Moment (ICM) specification tests are not commonly employed in the econometrics practice.
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