Generalized C α $$\left ( \alpha \right )$$ Tests with Nonstandard Convergence Rates

Jean-Marie Dufour () and Masaya Takano ()
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Jean-Marie Dufour: McGill University, Department of Economics
Masaya Takano: Monash University, Faculty of Business and Economics

A chapter in Recent Advances in Econometrics and Statistics, 2024, pp 167-186 from Springer

Abstract: Abstract We study hypothesis testing of linear and nonlinear restrictions on a finite-dimensional parameter vector, using estimating functions (or moment equations), when nuisance parameter estimators and the estimating functions converge at nonstandard rates. We focus on generalized C ( α ) $$C(\alpha )$$ tests [Dufour et al., Generalized C ( α ) $$C(\alpha )$$ tests for estimating functions with serial dependence. In Advances in Time Series Methods and Applications (pp. 151–178). Springer, 2016], which allow one to use a wide class of root-n consistent restricted estimators, under weak assumptions on the asymptotic distribution of the estimators. However, root-n consistency remains notably restrictive, because it precludes estimators which converge at a slow rate, e.g., many estimators based on nonparametric regressions. We establish conditions under which generalized C ( α ) $$C(\alpha )$$ -type statistics follow the usual chi-square distribution (under the null hypothesis) when the statistic is based on a restricted estimator which converges at a rate slower than the usual n 1 ∕ 2 $$n^{1/2}$$ rate. We also allow for nonstandard convergence rates on the estimating functions and their derivatives. The conditions given depend on the relation between the different convergence rates. As a special case, when the estimating function converges to its limit at rate n 1 ∕ 2 $$n^{1/2}$$ , we show that the convergence rate of the restricted estimator need only be faster than n 1 ∕ 4 $$n^{1/4}$$ . We apply the proposed procedure to a testing problem on derivatives of the conditional expectation, involving multiple nonstandard rates.

Date: 2024
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DOI: 10.1007/978-3-031-61853-6_9

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