2005-09-30Buch DOI: 10.18452/3409
On Testing Conditional Moment Restrictions
The Canonical Case
Let (x, z) be a pair of random vectors. We construct a new “smoothed” empirical likelihood based test for the hypothesis that E(z|x) a.s. = 0, and show that the test statistic is asymptotically normal under the null. An expression for the asymptotic power of this test under a sequence of local alternatives is also obtained. The test is shown to possess an optimality property in large samples. Simulation evidence suggests that it also behaves well in small samples.
Files in this item
No license information