On Testing Conditional Moment Restrictions
dc.contributor.author | Tripathi, Gautam | |
dc.contributor.author | Kitamura, Yuichi | |
dc.date.accessioned | 2017-06-15T20:54:00Z | |
dc.date.available | 2017-06-15T20:54:00Z | |
dc.date.created | 2005-09-30 | |
dc.date.issued | 2005-09-30 | |
dc.identifier.issn | 1436-1086 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4061 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | On Testing Conditional Moment Restrictions | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10048146 | |
dc.identifier.doi | http://dx.doi.org/10.18452/3409 | |
local.edoc.pages | 55 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2000 | |
dc.title.subtitle | The Canonical Case | |
dc.identifier.zdb | 2135319-0 | |
bua.series.name | Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes | |
bua.series.issuenumber | 2000,88 |