Semiparametric tests of conditional moment restrictions under weak or partial identificationSung Jae Jun () and Joris Pinkse Journal of Econometrics, 2009, vol. 152, issue 1, pages 3-18 Abstract: We propose two new semiparametric specification tests which test whether a vector of conditional moment conditions is satisfied for any vector of parameter values [theta]0. Unlike most existing tests, our tests are asymptotically valid under weak and/or partial identification and can accommodate discontinuities in the conditional moment functions. Our tests are moreover consistent provided that identification is not too weak. We do not require the availability of a consistent first step estimator. Like Robinson [Robinson, Peter M., 1987. Asymptotically efficient estimation in the presence of heteroskedasticity of unknown form. Econometrica 55, 875-891] and many others in similar problems subsequently, we use k-nearest neighbor (knn) weights instead of kernel weights. The advantage of using knn weights is that local power is invariant to transformations of the instruments and that under strong point identification computation of the test statistic yields an efficient estimator of [theta]0 as a byproduct. Keywords: Conditional; moments; Nonparametric; testing; Specification; tests; Weak; identification; k-nearest; neighbors (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:eee:econom:v:152:y:2009:i:1:p:3-18 Access Statistics for this article Journal of Econometrics is edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao, P. M. Robinson and A. Zellner More articles in Journal of Econometrics from Elsevier |
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