Unified approach to testing functional hypotheses in semiparametric contexts
We suggest a new method, with very wide applicability, for testing semiparametric hypotheses about functions such as regression means and probability densities. The technique is based on characterising hypotheses in terms of functionals which can be estimated root-n consistently, and constructing test statistics in terms of estimators of the functionals. Since the tests are semiparametric it is appropriate to assess them on the basis of their ability to detect departures of size n-1/2 from the...[Show more]
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|Source:||Journal of Econometrics|
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