Bilinear form test statistics for extremum estimation

DOI10.1016/J.ECONLET.2019.108885MaRDI QIDQ2295359zbMATH OpenOpenAlexWikidataFDO

Authors Federico Crudu, Felipe Osorio

Publication date 13 February 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.01410

zbMATH Keywords

extremum estimationgradient statisticbilinear form testnonlinear hypothesis

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Abstract: This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework with particular interest in nonlinear hypothesis. We show that the proposed statistic converges to a conventional chi-square limit. A Monte Carlo experiment suggests that the test statistic works well in finite samples.

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Cited in

(1)

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