On testing conditional moment restrictions: The canonical case

Gautam Tripathi and Yuichi Kitamura

No 2000,88, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: Let (x, z) be a pair of random vectors. We construct a new smoothed empirical likelihood based test for the hypothesis that E(z|x) a.s. = 0, and show that the test statistic is asymptotically normal under the null. An expression for the asymptotic power of this test under a sequence of local alternatives is also obtained. The test is shown to possess an optimality property in large samples. Simulation evidence suggests that it also behaves well in small samples.

Date: 2000
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