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Testing a parametric function against a non-parametric alternative in IV and GMM settings

Gorgens, Jakob (Tue); Wurtz, Allan

Description

This paper develops a specification test for functional form for models identified by a conditional moment restriction, including IV and GMM settings. The framework is one where the moment restriction is specified as a function of data, a finite-dimensional parameter vector and a non-parametric function (an infinite-dimensional parameter vector). The null hypothesis is that the moment restriction does not depend on the non-parametric function. The test is relatively easy to implement and its...[Show more]

dc.contributor.authorGorgens, Jakob (Tue)
dc.contributor.authorWurtz, Allan
dc.date.accessioned2015-12-13T22:19:41Z
dc.identifier.issn1368-4221
dc.identifier.urihttp://hdl.handle.net/1885/71941
dc.description.abstractThis paper develops a specification test for functional form for models identified by a conditional moment restriction, including IV and GMM settings. The framework is one where the moment restriction is specified as a function of data, a finite-dimensional parameter vector and a non-parametric function (an infinite-dimensional parameter vector). The null hypothesis is that the moment restriction does not depend on the non-parametric function. The test is relatively easy to implement and its asymptotic distribution is known. The test performs well in simulation experiments.
dc.publisherBlackwell Publishing Ltd
dc.sourceThe Econometrics Journal
dc.subjectKeywords: Generalized arc-sine distribution; Generalized method of moments; LM statistic; Non-parametric alternative; Specification test
dc.titleTesting a parametric function against a non-parametric alternative in IV and GMM settings
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume15
dc.date.issued2012
local.identifier.absfor140300 - ECONOMETRICS
local.identifier.ariespublicationf5625xPUB2964
local.type.statusPublished Version
local.contributor.affiliationGorgens, Jakob (Tue), College of Business and Economics, ANU
local.contributor.affiliationWurtz, Allan, Aarhus University
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage462
local.bibliographicCitation.lastpage489
local.identifier.doi10.1111/j.1368-423X.2012.00382.x
local.identifier.absseo910599 - Measurement Standards and Calibration Services not elsewhere classified
dc.date.updated2016-02-24T09:04:22Z
local.identifier.scopusID2-s2.0-84870335330
local.identifier.thomsonID000311708200005
CollectionsANU Research Publications

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