Testing a parametric function against a nonparametric alternative in IV and GMM settings

Tue Gørgens () and Allan Würtz
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Tue Gørgens: Australian National University, Postal: SPEAR Centre, Research School of Social Sciences, Australian National University, Canberra ACT 0200, Australia

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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.

Keywords: Generalized method of moments; specification test; nonparametric alternative; LM statistic; generalized arc-sine distribution (search for similar items in EconPapers)
JEL-codes: C12 C14 C52 (search for similar items in EconPapers)
Pages: 34
Date: 2009-01-11
New Economics Papers: this item is included in nep-ecm
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https://repec.econ.au.dk/repec/creates/rp/09/rp09_54.pdf (application/pdf)

Related works:
Working Paper: Testing a Parametric Function Against a Nonparametric Alternative in IV and GMM Settings (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2009-54

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