Simulated conditional moment tests

DOI10.1016/0165-1765(95)00679-AMaRDI QIDQ672615zbMATH OpenOpenAlexFDO

Authors Chris D. Orme

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00679-a

zbMATH Keywords

information matrix testfinite sample behavioursimulation techniques

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• STATISTICAL INFERENCE WITH SIMULATED LIKELIHOOD FUNCTIONS
• Structural change tests for simulated method of moments.
• Testing conditional moment restrictions
• A Conditional Likelihood Ratio Test for Structural Models
• On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives

Cites work

• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• A simple derivation of the limited information maximum likelihood estimator
• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Asymptotic Expansions of the Information Matrix Test Statistic
• Maximum Likelihood Estimation of Misspecified Models
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Simulation and the Asymptotics of Optimization Estimators
• Simulation-based inference. A survey with special reference to panel data models

Cited in

(9)

• STATISTICAL INFERENCE WITH SIMULATED LIKELIHOOD FUNCTIONS
• Structural change tests for simulated method of moments.
• Graphical conditional moment tests
• Simulation-based inference. A survey with special reference to panel data models
• On improving the robustness and reliability of Rao's score test
• A test for the distributional comparison of simulated and historical data
• The information matrix test with bootstrap-based covariance matrix estimation
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• Tests for Trend: A Simulation Study

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