Testing semiparametric conditional moment restrictions using conditional martingale transforms
AbstractThis paper studies conditional moment restrictions that contain unknown nonparametric functions, and proposes a general method of obtaining asymptotically distribution-free tests via martingale transforms. Examples of such conditional moment restrictions are single index restrictions, partially parametric regressions, and partially parametric quantile regressions. This paper introduces a conditional martingale transform that is conditioned on the variable in the nonparametric function, and shows that we can generate distribution-free tests of various semiparametric conditional moment restrictions using this martingale transform. The paper proposes feasible martingale transforms using series estimation and establishes their asymptotic validity. Some results from a Monte Carlo simulation study are presented and discussed.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 154 (2010)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/jeconom
Semiparametric models Conditional moment restrictions Martingale transform Asymptotically distribution-free tests;
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