Optimal comparison of misspecified moment restriction models under a chosen measure of fit

DOI10.1016/J.JECONOM.2012.05.021zbMATH Open1443.62492OpenAlexW3123188497MaRDI QIDQ528067FDOQ528067

Authors: Vadim Marmer, Taisuke Otsu 

Publication date: 12 May 2017

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

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d17/d1724.pdf

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zbMATH Keywords

generalized method of momentsmisspecificationmodel comparisongeneralized Neyman-Pearson optimalitymoment restriction

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (4)

• Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Testing firm conduct
• Comparison of misspecified calibrated models: the minimum distance approach

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