Consistent specification testing for conditional moment restrictions (Q5941233)
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scientific article; zbMATH DE number 1635398
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| English | Consistent specification testing for conditional moment restrictions |
scientific article; zbMATH DE number 1635398 |
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Consistent specification testing for conditional moment restrictions (English)
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20 August 2001
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This paper introduces specification tests for conditional moment restrictions. The proposed tests are generalizations of the Kolmogorov-Smirnov and Cramér-von Mises tests and are consistent against all alternatives to the null hypothesis, powerful against \(1/n\) local alternatives and not dependent on any smoothing parameter. A nonparametric bootstrap procedure based on a recentered criterion function is suggested to obtain critical values for the tests and is justified asymptotically.
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Bootstrap
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Conditional moment restriction
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Consistent specification test
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GMM
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0.8496925234794617
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0.8391392230987549
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0.8368359208106995
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0.8307629823684692
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0.8269442319869995
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