Consistent Tests of Conditional Moment Restrictions
AbstractWe propose two classes of consistent tests in parametric econometric models defined through multiple conditional moment restrictions. The first type of tests relies on nonparametric estimation, while the second relies on a functional of a marked empirical process. For both tests, a simulation procedure for obtaining critical values is shown to be asymptotically valid. Finite sample performances of the tests are investigated by means of several Monte-Carlo experiments.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (2006)
Issue (Month): 81 ()
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