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Specification tests for generalized propensity scores using double projections

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  • Pedro H. C. Sant'Anna
  • Xiaojun Song

Abstract

This paper proposes a new class of nonparametric tests for the correct specification of models based on conditional moment restrictions, paying particular attention to generalized propensity score models. The test procedure is based on two different projection arguments, leading to test statistics that are suitable to setups with many covariates, and are (asymptotically) invariant to the estimation method used to estimate the nuisance parameters. We show that our proposed tests are able to detect a broad class of local alternatives converging to the null at the usual parametric rate and illustrate its attractive power properties via simulations. We also extend our proposal to test parametric or semiparametric single-index-type models.

Suggested Citation

  • Pedro H. C. Sant'Anna & Xiaojun Song, 2020. "Specification tests for generalized propensity scores using double projections," Papers 2003.13803, arXiv.org, revised Apr 2023.
    • Handle: RePEc:arx:papers:2003.13803
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    References listed on IDEAS

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