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Consistent Tests of Conditional Moment Restrictions

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  • Miguel A. DELGADO
  • Manuel A. DOMINGUEZ
  • Pascal LAVERGNE

Abstract

We 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 Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2006)
Issue (Month): 81 ()
Pages: 33-67

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Handle: RePEc:adr:anecst:y:2006:i:81:p:02

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Cited by:
  1. Carlos Escanciano, J., 2008. "Joint and marginal specification tests for conditional mean and variance models," Journal of Econometrics, Elsevier, Elsevier, vol. 143(1), pages 74-87, March.
  2. Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP30/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Pascal Lavergne & Valentin Patilea, 2006. "Breaking the Curse of Dimensionality in Nonparametric Testing," Working Papers, Centre de Recherche en Economie et Statistique 2006-24, Centre de Recherche en Economie et Statistique.
  4. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers, Exeter University, Department of Economics 1312, Exeter University, Department of Economics.
  5. Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory," Journal of Econometrics, Elsevier, Elsevier, vol. 177(1), pages 47-59.
  6. Jun, Sung Jae & Pinkse, Joris, 2009. "Semiparametric tests of conditional moment restrictions under weak or partial identification," Journal of Econometrics, Elsevier, Elsevier, vol. 152(1), pages 3-18, September.

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