A Hausman Specification Test of Conditional Moment Restrictions

Pascal Lavergne and Pierre Nguimkeu

No 16-743, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: This paper addresses the issue of detecting misspecified conditional moment restrictions (CMR). We propose a new Hausman-type test based on the comparison of an efficient estimator with an ineficient one, both derived by semiparametrically estimating the CMR using different bandwidths. The proposed test statistic is asymptotically chi-squared distributed under correct specification. We propose a general bootstrap procedure for computing critical values in small samples. The testing procedures are easy to implement and simulation results show that they perform well in small samples. An empirical application to a model of female formal labor force participation and wage determination in urban Ghana is provided.

Keywords: Conditional Moment Restrictions; Hypothesis Testing; Smoothing Methods; Bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 C52 (search for similar items in EconPapers)
Date: 2016-12
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:31275

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