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A Specification Test For Nonparametric Instrumental Variable Regression

  • Patrick Gagliardini

    (University of Lugano and Swiss Finance Institute)

  • Olivier Scaillet

    (University of Geneva, HEC and Swiss Finance Institute)

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov Regularized estimator of the functional parameter. Its asymptotic distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values. We explore the finite sample behavior with Monte Carlo experiments. Finally, we provide an empirical application for an estimated Engel curve.

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File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=985315
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Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 9602.

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Length: 41 pages
Date of creation: Apr 2007
Date of revision:
Handle: RePEc:chf:rpseri:rp0713
Contact details of provider: Web page: http://www.SwissFinanceInstitute.ch

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