IDEAS home Printed from https://ideas.repec.org/p/hit/hitcei/2010-9.html
   My bibliography  Save this paper

Testing a Parametric Function Against a Nonparametric Alternative in IV and GMM Settings

Author

Listed:
  • Gørgens, Tue
  • Würtz, Allan

Abstract

This 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.

Suggested Citation

  • 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.
    • Handle: RePEc:hit:hitcei:2010-9
    as

    Download full text from publisher

    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/29196/wp2010-9.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Whang, Yoon-Jae, 2001. "Consistent specification testing for conditional moment restrictions," Economics Letters, Elsevier, vol. 71(3), pages 299-306, June.
    2. Richard Blundell & Alan Duncan & Krishna Pendakur, 1998. "Semiparametric estimation and consumer demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 435-461.
    3. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    4. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826, Elsevier.
    5. Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
    6. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
    7. de Jong, R.M. & Bierens, H.J., 1994. "On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity," Econometric Theory, Cambridge University Press, vol. 10(1), pages 70-90, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jinyong Hahn & Ruoyao Shi, 2021. "Breusch and Pagan’s (1980) Test Revisited," Working Papers 202110, University of California at Riverside, Department of Economics.
    2. Thanasis Stengos & Ximing Wu, 2010. "Information-Theoretic Distribution Test with Application to Normality," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 307-329.
    3. Prosper Dovonon & Nikolay Gospodinov, 2024. "Specification testing for conditional moment restrictions under local identification failure," Quantitative Economics, Econometric Society, vol. 15(3), pages 849-891, July.
    4. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(3), pages 363-384, December.
    5. Theodore Panagiotidis & Georgios Papapanagiotou, 2024. "A note on the determinants of NFTs returns," Working Paper series 24-07, Rimini Centre for Economic Analysis.
    6. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
    7. Otsu, Taisuke & Whang, Yoon-Jae, 2011. "Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood," Econometric Theory, Cambridge University Press, vol. 27(1), pages 114-153, February.
    8. Abhimanyu Gupta & Jungyoon Lee & Francesca Rossi, 2024. "Testing linearity of spatial interaction functions \`a la Ramsey," Papers 2412.14778, arXiv.org, revised Apr 2025.
    9. Russell Davidson & Victoria Zinde‐Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(5), pages 1595-1631, December.
    10. Anatolyev, Stanislav, 2012. "Inference in regression models with many regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
    11. Demian Pouzo, 2014. "Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension," Papers 1411.2701, arXiv.org, revised Aug 2015.
    12. Mark B. Stewart, 2009. "The Estimation Of Pensioner Equivalence Scales Using Subjective Data," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 55(4), pages 907-929, December.
    13. Siddhartha Chib & Minchul Shin & Anna Simoni, 2022. "Bayesian estimation and comparison of conditional moment models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 740-764, July.
    14. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    15. Jeffrey M. Woodridge, 1988. "A Unified Approach to Robust, Regression-Based Specification Tests," Working papers 480, Massachusetts Institute of Technology (MIT), Department of Economics.
    16. Lavergne, Pascal & Patilea, Valentin, 2008. "Breaking the curse of dimensionality in nonparametric testing," Journal of Econometrics, Elsevier, vol. 143(1), pages 103-122, March.
    17. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
    18. Dastoor, Naorayex K., 2003. "The equality of comparable extended families of classical-type and Hausman-type statistics," Journal of Econometrics, Elsevier, vol. 117(2), pages 313-330, December.
    19. Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers 30/12, Institute for Fiscal Studies.
    20. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.

    More about this item

    Keywords

    Generalized method of moments; specification test; nonparametric alternative; LM statistic; generalized arc-sine distribution;
    All these keywords.

    JEL classification:

    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hit:hitcei:2010-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Reiko Suzuki The email address of this maintainer does not seem to be valid anymore. Please ask Reiko Suzuki to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/cehitjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.