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Testing a Parametric Function Against a Nonparametric Alternative in IV and GMM Settings

Tue Gørgens and Allan Würtz

No 2010-9, CEI Working Paper Series from Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University

Abstract: This paper develops a specification test for functional form for models identified by moment restrictions, including IV and GMM settings. The general framework is one where the moment restrictions are specified as functions of data, a finite-dimensional parameter vector, and a nonparametric real function (an infinite-dimensional parameter vector). The null hypothesis is that the real function is parametric. The test is relatively easy to implement and its asymptotic distribution is known. The test performs well in simulation experiments.

Keywords: Generalized method of moments; specification test; nonparametric alternative; LM statistic; generalized arc-sine distribution (search for similar items in EconPapers)
JEL-codes: C12 C14 C52 (search for similar items in EconPapers)
Pages: 42 p.
Date: 2010-12
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Downloads: (external link)
http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/29196/1/wp2010-9.pdf

Related works:
Journal Article: Testing a parametric function against a non‐parametric alternative in IV and GMM settings (2012) Downloads
Working Paper: Testing a parametric function against a nonparametric alternative in IV and GMM settings (2009) Downloads
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