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Testing semiparametric conditional moment restrictions using conditional martingale transforms

  • Song, Kyungchul
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    This 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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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 154 (2010)
    Issue (Month): 1 (January)
    Pages: 74-84

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    Handle: RePEc:eee:econom:v:154:y:2010:i:1:p:74-84
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