Testing a parametric function against a non‐parametric alternative in IV and GMM settings
AbstractThis paper develops a specification test for functional form for models identified by moment restrictions, including IV and GMM settings. The general framework is one where the moment restrictions are specified as functions of data, a finite-dimensional parameter vector, and a nonparametric real function (an infinite-dimensional parameter vector). The null hypothesis is that the real function is parametric. The test is relatively easy to implement and its asymptotic distribution is known. The test performs well in simulation experiments.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 15 (2012)
Issue (Month): 3 (October)
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Other versions of this item:
- Tue Gørgens & Allan Würtz, 2009. "Testing a parametric function against a nonparametric alternative in IV and GMM settings," CREATES Research Papers 2009-54, School of Economics and Management, University of Aarhus.
- Gørgens, Tue & Würtz, Allan, 2010. "Testing a Parametric Function Against a Nonparametric Alternative in IV and GMM Settings," CEI Working Paper Series 2010-9, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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