Testing Distributional Assumptions Using a Continuum of Moments
Marine Carrasco () and
Enrique Sentana ()
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Marine Carrasco: Université de Montréal, http://www.umontreal.ca/
Working Papers from CEMFI
We propose specification tests for parametric distributions that compare theoretical and empirical characteristic functions. Our proposal is the continuum of moment conditions analogue to the usual overidentifying restrictions test, which takes into account the correlation between influence functions for different argument values. We derive its asymptotic distribution for fixed regularization parameter and when this vanishes with the sample size. We show its consistency against any deviation from the null, study its local power and compare it with existing tests. An extensive Monte Carlo exercise confirms that our proposed tests display good power in finite samples against a variety of alternatives.
Keywords: Consistent tests; characteristic function; GMM; continuum of moment conditions; goodness-of-fit; Tikhonov regularization. (search for similar items in EconPapers)
JEL-codes: C01 C12 C52 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2017_1709
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