Testing a parametric function against a non‐parametric alternative in IV and GMM settings

DOI10.1111/J.1368-423X.2012.00382.XMaRDI QIDQ5093193zbMATH OpenFDO

Authors Tue Gørgens, Allan H. Würtz

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2012.00382.X

zbMATH Keywords

generalized arc-sine distributiongeneralized method of momentsLM statisticnon-parametric alternativespecification test

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• Testing parametric models in the presence of instrumental variables
• Testing a Parametric Model Against a Nonparametric Alternative with Identification Through Instrumental Variables
• Optimal minimax rates of specification testing with data-driven bandwidth

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