A Specification Test For Nonparametric Instrumental Variable Regression

Patrick Gagliardini () and Olivier Scaillet

No 07-13, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov Regularized estimator of the functional parameter. Its asymptotic distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values. We explore the finite sample behavior with Monte Carlo experiments. Finally, we provide an empirical application for an estimated Engel curve.

Keywords: Specification Test; Nonparametric Regression; Instrumental Variables; Minimum Distance; Tikhonov Regularization; Ill-posed Inverse Problems; Generalized Method of Moments; Bootstrap; Engel Curve (search for similar items in EconPapers)
JEL-codes: C13 C14 C15 D12 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2007-04
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (7)

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Journal Article: A Specification Test for Nonparametric Instrumental Variable Regression (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0713

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