Bilinear form test statistics for extremum estimation

DOI10.1016/J.ECONLET.2019.108885zbMATH Open1436.62686arXiv1912.01410OpenAlexW2994695245WikidataQ126531182 ScholiaQ126531182MaRDI QIDQ2295359FDOQ2295359

Authors: Federico Crudu, Felipe Osorio 

Publication date: 13 February 2020

Published in: Economics Letters (Search for Journal in Brave)

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.

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

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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)

Cites Work

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Cited In (1)

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