Testing distributional assumptions using a continuum of moments

DOI10.1016/J.JECONOM.2020.04.033zbMATH Open1464.62223OpenAlexW2908327070WikidataQ114666101 ScholiaQ114666101MaRDI QIDQ2227064FDOQ2227064

Authors: Dante Amengual, Marine Carrasco, Enrique Sentana 

Publication date: 9 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.033

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zbMATH Keywords

characteristic functionTikhonov regularizationgoodness-of-fitGMMconsistent testscontinuum of moment conditionscomplex Gaussian process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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Cited In (4)

• Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
• Testing for discontinuity or type of distribution
• Structural VAR models in the frequency domain
• Specification tests for non-Gaussian structural vector autoregressions

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