Consistent Tests of Conditional Moment Restrictions

Miguel Delgado (), Manuel A. Dominguez and Pascal Lavergne

Annals of Economics and Statistics, 2006, issue 81, 33-67

Abstract: We propose two classes of consistent tests in parametric econometric models defined through multiple conditional moment restrictions. The first type of tests relies on nonparametric estimation, while the second relies on a functional of a marked empirical process. For both tests, a simulation procedure for obtaining critical values is shown to be asymptotically valid. Finite sample performances of the tests are investigated by means of several Monte-Carlo experiments.

Date: 2006
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