Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods
Jesper R.-V. Soerensen
Additional contact information
Jesper R.-V. Soerensen: Department of Economics, University of Copenhagen, Denmark
No 20-04, Discussion Papers from University of Copenhagen. Department of Economics
This paper proposes a new test for a class of conditional moment restrictions whose parameterization involves unknown, unrestricted conditional expectation functions. Examples of such conditional moment restrictions are conditional mean independence (leading to a nonparametric significance test) and conditional homoskedasticity (with an otherwise unrestricted conditional mean) and also arise from models of single-agent discrete choice under uncertainty and static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982) goodness-of-fit test of a parametric model for the conditional mean. Estimating conditional expectations using series methods and employing a Gaussian multiplier bootstrap to obtain critical values, the resulting test is shown to be asymptotically correctly sized and consistent. A simulation study applies the procedure to test the specification of a two-player, binary-action static game of incomplete information, treating equilibrium beliefs as nonparametric conditional expectations.
Keywords: Omnibus specification testing; Semiparametric; Conditional moment restrictions; Conditional expectation; Series estimation; Bootstrap; Cramer-von Mises distance. (search for similar items in EconPapers)
JEL-codes: C01 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:2004
Access Statistics for this paper
More papers in Discussion Papers from University of Copenhagen. Department of Economics ï¿½ster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann ().