Testing parametric models in the presence of instrumental variables

Hajo Holzmann

Statistics & Probability Letters, 2008, vol. 78, issue 6, 629-636

Abstract: In this note we develop tests for checking the hypothesis whether a regression function, which is identified via instrumental variables, belongs to some parametric family of functions. We show that this testing problem can essentially be reduced to testing whether a regression function in an ordinary nonparametric regression model vanishes. The asymptotic distribution theory of two test statistics is developed, and their power properties are investigated in a simulation study.

Keywords: Instrumental; variables; Inverse; estimation; Lack-of-fit; tests; Nonparametric; regression; Statistical; inverse; problem (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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