A simple specification test for conditional moment restrictions

Wei-Ming Lee

Applied Economics Letters, 2007, vol. 14, issue 11, 839-843

Abstract: In this article we extend the martingale difference test of Kuan and Lee (2004) to tests of conditional moment restrictions involving unknown parameters. The proposed test is asymptotically pivotal, easy to implement and capable of diagnostic checking misspecifications of quantile regressions. The simulation results show that the proposed test performs quite well in finite samples.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:14:y:2007:i:11:p:839-843

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850600592671

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().