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

conditional moment restrictionsmultiplier bootstrapstrong approximationuniform inference

Mathematics Subject Classification ID

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

Review text

Consider a conditional moment model which includes both finite-dimensional parameters and (infinite-dimensional) functions as parameters. This paper begins by establishing conditions under which a Gaussian approximation of functionals of sieve generalized method-of-moments estimators holds. The author goes on to analyse three test statistics for hypothesis testing in this setting: one based on weighted quadratic forms, a second based on a uniform quasi-likelihood ratio statistic, and a third based on a uniform Lagrange multiplier statistic. These test statistics are shown to be asymptotically equivalent, and their bootstrap consistency is also established. These results are interpreted in the context of construction of confidence intervals and uniform confidence bands for functionals of the unknown parameters.

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Cites work

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• Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
• 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)

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

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