Bilinear form test statistics for extremum estimation

Federico Crudu () and Felipe Osorio

Papers from arXiv.org

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.

Date: 2019-12
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Published in Economics Letters 187, 108885, 2020

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http://arxiv.org/pdf/1912.01410 Latest version (application/pdf)

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Journal Article: Bilinear form test statistics for extremum estimation (2020)
Working Paper: Bilinear form test statistics for extremum estimation (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1912.01410

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