Testing semiparametric conditional moment restrictions using conditional martingale transforms

Kyungchul Song

Journal of Econometrics, 2010, vol. 154, issue 1, 74-84

Abstract: This paper studies conditional moment restrictions that contain unknown nonparametric functions, and proposes a general method of obtaining asymptotically distribution-free tests via martingale transforms. Examples of such conditional moment restrictions are single index restrictions, partially parametric regressions, and partially parametric quantile regressions. This paper introduces a conditional martingale transform that is conditioned on the variable in the nonparametric function, and shows that we can generate distribution-free tests of various semiparametric conditional moment restrictions using this martingale transform. The paper proposes feasible martingale transforms using series estimation and establishes their asymptotic validity. Some results from a Monte Carlo simulation study are presented and discussed.

Keywords: Semiparametric; models; Conditional; moment; restrictions; Martingale; transform; Asymptotically; distribution-free; tests (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:154:y:2010:i:1:p:74-84

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