Testing a parametric function against a non-parametric alternative in IV and GMM settings
Date
2012
Authors
Gorgens, Jakob (Tue)
Wurtz, Allan
Journal Title
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Volume Title
Publisher
Blackwell Publishing Ltd
Abstract
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 asymptotic distribution is known. The test performs well in simulation experiments.
Description
Keywords
Keywords: Generalized arc-sine distribution; Generalized method of moments; LM statistic; Non-parametric alternative; Specification test
Citation
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Source
The Econometrics Journal
Type
Journal article
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Restricted until
2037-12-31