Testing conditional moment restrictions
Tripathi, Gautam ; Kitamura, Yuichi
Ann. Statist., Tome 31 (2003) no. 1, p. 2059-2095 / Harvested from Project Euclid
Let (x,z) be a pair of observable random vectors. We construct a new "smoothed" empirical likelihood-based test for the hypothesis $\E\{ g(z,\break \theta)|x \} = 0$ w.p.1, where g is a vector of known functions and $\theta$ an unknown finite-dimensional parameter. We show that the test statistic is asymptotically normal under the null hypothesis and derive its asymptotic distribution under a sequence of local alternatives. Furthermore, the test is shown to possess an optimality property in large samples. Simulation evidence suggests that it also behaves well in small samples.
Publié le : 2003-12-14
Classification:  Conditional moment restrictions,  empirical likelihood,  smoothing,  62G10,  62J20
@article{1074290337,
     author = {Tripathi, Gautam and Kitamura, Yuichi},
     title = {Testing conditional moment restrictions},
     journal = {Ann. Statist.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 2059-2095},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1074290337}
}
Tripathi, Gautam; Kitamura, Yuichi. Testing conditional moment restrictions. Ann. Statist., Tome 31 (2003) no. 1, pp.  2059-2095. http://gdmltest.u-ga.fr/item/1074290337/