Bilinear form test statistics for extremum estimation

Federico Crudu () and Felipe Osorio

Economics Letters, 2020, vol. 187, issue C

Abstract: This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework with particular interest in nonlinear hypothesis. We show that the proposed statistic converges to a conventional chi-square limit. A Monte Carlo experiment suggests that the test statistic works well in finite samples.

Keywords: Extremum estimation; Gradient statistic; Bilinear form test; Nonlinear hypothesis (search for similar items in EconPapers)
JEL-codes: C12 C14 C69 (search for similar items in EconPapers)
Date: 2020
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Working Paper: Bilinear form test statistics for extremum estimation (2019)
Working Paper: Bilinear form test statistics for extremum estimation (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:187:y:2020:i:c:s016517651930446x

DOI: 10.1016/j.econlet.2019.108885

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