Bilinear form test statistics for extremum estimation

Federico Crudu () and Felipe Osorio ()

Department of Economics University of Siena from Department of Economics, University of Siena

Abstract: This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework. 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 ?nite samples

Keywords: Extremum estimation; Gradient statistic; Bilinear form test; Nonlinear hypothesis. (search for similar items in EconPapers)
JEL-codes: C12 C14 C69 (search for similar items in EconPapers)
Date: 2019-06
New Economics Papers: this item is included in nep-ecm
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http://repec.deps.unisi.it/quaderni/804.pdf (application/pdf)

Related works:
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:usi:wpaper:804

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