Trinity tests of functions for conditional moment models

DOI10.1016/J.JMVA.2020.104604MaRDI QIDQ2181719zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 19 May 2020

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2020.104604

zbMATH Keywords

multiplier bootstrapstrong approximationconditional moment restrictionsuniform inference

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric tolerance and confidence regions (62G15) Hypothesis testing in multivariate analysis (62H15) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites work

• A note on generalized empirical likelihood estimation of semiparametric conditional moment restriction models
• A user's guide to measure theoretic probability
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• Empirical likelihood estimation of conditional moment restriction models with unknown functions
• Gaussian approximation of suprema of empirical processes
• Identification and shape restrictions in nonparametric instrumental variables estimation
• Mathematical foundations of infinite-dimensional statistical models
• Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
• Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
• Sieve likelihood ratio inference on general parameter space
• Some new asymptotic theory for least squares series: pointwise and uniform results
• Uniform confidence bands for functions estimated nonparametrically with instrumental variables
• Weak convergence and empirical processes. With applications to statistics

Cited in

(3)

• Stochastically weighted average conditional moment tests of functional form
• Conditional inference with a functional nuisance parameter
• A Consistent Conditional Moment Test of Functional Form

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