Testing parametric models in the presence of instrumental variables

DOI10.1016/J.SPL.2007.09.025MaRDI QIDQ2483433zbMATH OpenOpenAlexFDO

Authors Hajo Holzmann

Publication date 28 April 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.09.025

zbMATH Keywords

statistical inverse problemlack-of-fit testsinverse estimation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation
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• Comparing nonparametric versus parametric regression fits
• Density testing in a contaminated sample
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• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• Instrumental Variable Estimation of Nonparametric Models
• Linear integral equations.
• Nonparametric instrumental regression
• Nonparametric methods for inference in the presence of instrumental variables
• Nonparametric model checks for regression
• On variance estimation in nonparametric regression
• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• Statistical Inverse Estimation in Hilbert Scales
• Testing a Parametric Model Against a Nonparametric Alternative with Identification Through Instrumental Variables
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Weak convergence and empirical processes. With applications to statistics

Cited in

(11)

• Goodness-of-fit tests based on series estimators in nonparametric instrumental regression
• Optimal minimax rates of specification testing with data-driven bandwidth
• The asymptotic model quality assessment for instrumental variable identification revisited
• Testing hypotheses on the unidentifiable structural parameters in the classical ``errors-in-variables model with application to Friedman's permanent income model
• Model checks in inverse regression models with convolution-type operators
• Testing for a functional form of mean regression in a fully parametric environment
• Testing a Parametric Model Against a Nonparametric Alternative with Identification Through Instrumental Variables
• scientific article; zbMATH DE number 4202115 (Why is no real title available?)
• Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
• Comments on: ``An updated review of goodness-of-fit tests for regression models
• Model equivalence tests in a parametric framework

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