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2005-09-30Buch DOI: 10.18452/3409
On Testing Conditional Moment Restrictions
dc.contributor.authorTripathi, Gautam
dc.contributor.authorKitamura, Yuichi
dc.date.accessioned2017-06-15T20:54:00Z
dc.date.available2017-06-15T20:54:00Z
dc.date.created2005-09-30
dc.date.issued2005-09-30
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4061
dc.description.abstractLet (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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleOn Testing Conditional Moment Restrictions
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10048146
dc.identifier.doihttp://dx.doi.org/10.18452/3409
local.edoc.pages55
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2000
dc.title.subtitleThe Canonical Case
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2000,88

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