Tests of additional conditional moment restrictions

DOI10.1016/J.JECONOM.2017.02.004zbMATH Open1388.62374OpenAlexW2607288820MaRDI QIDQ2398971FDOQ2398971

Authors: Paulo M. D. C. Parente, Richard J. Smith 

Publication date: 21 August 2017

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

Full work available at URL: http://hdl.handle.net/10071/16975

Recommendations

• Testing conditional moment restrictions
• Consistent specification testing for conditional moment restrictions
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• Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
• Testing for nonnested conditional moment restrictions via conditional empirical likelihood

zbMATH Keywords

GMMlocal powergeneralised empirical likelihoodseries approximationsdesign of test statisticsparametric likelihood settingrestricted testsunrestricted tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cited In (4)

• A simple test for identification in GMM under conditional moment restrictions
• A new class of tests for overidentifying restrictions in moment condition models
• Consistent specification testing for conditional moment restrictions
• Testing conditional moment restrictions

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