Department of Economics and Business Economics

Testing a parametric function against a nonparametric alternative in IV and GMM settings

Research output: Working paperResearch

Documents

  • Rp09 54

    Final published version, 300 KB, PDF document

  • Tue Gørgens, Australian National University, Australia
  • Allan Wurtz
  • School of Economics and Management
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages34
Publication statusPublished - 2009

    Research areas

  • Generalized method of moments, specification test, nonparametric alternative, LM statistic, generalized arc-sine distribution

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