TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS

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TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS. / Sørensen, Jesper Riis Vestergaard.

I: Econometric Theory, 2024.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Sørensen, JRV 2024, 'TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS', Econometric Theory. https://doi.org/10.1017/S0266466622000615

APA

Sørensen, J. R. V. (2024). TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS. Econometric Theory. https://doi.org/10.1017/S0266466622000615

Vancouver

Sørensen JRV. TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS. Econometric Theory. 2024. https://doi.org/10.1017/S0266466622000615

Author

Sørensen, Jesper Riis Vestergaard. / TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS. I: Econometric Theory. 2024.

Bibtex

@article{3ae7df20bc644d79ab2454266ad8c10e,
title = "TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS",
abstract = "This paper proposes a new test for a class of conditional moment restrictions (CMRs) whose parameterization involves unknown, unrestricted conditional expectation functions. Motivating examples of such CMRs arise from models of discrete choice under uncertainty including certain static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982, Journal of Econometrics 20, 105-134) goodness-of-fit test of a parametric model for the conditional mean. Estimating conditional expectations using series methods and employing a Gaussian multiplier bootstrap to obtain critical values, the test is shown to be asymptotically correctly sized and consistent. Simulation studies indicate good finite-sample properties. In an empirical application, the test is used to study the validity of a game-theoretical model for discount store market entry, treating equilibrium beliefs as nonparametric conditional expectations. The test indicates that Walmart and Kmart entry decisions do not result from a static discrete game of incomplete information with linearly specified profits. ",
author = "S{\o}rensen, {Jesper Riis Vestergaard}",
note = "Publisher Copyright: {\textcopyright} The Author(s), 2022. Published by Cambridge University Press.",
year = "2024",
doi = "10.1017/S0266466622000615",
language = "English",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",

}

RIS

TY - JOUR

T1 - TESTING A CLASS of SEMI- or NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS

AU - Sørensen, Jesper Riis Vestergaard

N1 - Publisher Copyright: © The Author(s), 2022. Published by Cambridge University Press.

PY - 2024

Y1 - 2024

N2 - This paper proposes a new test for a class of conditional moment restrictions (CMRs) whose parameterization involves unknown, unrestricted conditional expectation functions. Motivating examples of such CMRs arise from models of discrete choice under uncertainty including certain static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982, Journal of Econometrics 20, 105-134) goodness-of-fit test of a parametric model for the conditional mean. Estimating conditional expectations using series methods and employing a Gaussian multiplier bootstrap to obtain critical values, the test is shown to be asymptotically correctly sized and consistent. Simulation studies indicate good finite-sample properties. In an empirical application, the test is used to study the validity of a game-theoretical model for discount store market entry, treating equilibrium beliefs as nonparametric conditional expectations. The test indicates that Walmart and Kmart entry decisions do not result from a static discrete game of incomplete information with linearly specified profits.

AB - This paper proposes a new test for a class of conditional moment restrictions (CMRs) whose parameterization involves unknown, unrestricted conditional expectation functions. Motivating examples of such CMRs arise from models of discrete choice under uncertainty including certain static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982, Journal of Econometrics 20, 105-134) goodness-of-fit test of a parametric model for the conditional mean. Estimating conditional expectations using series methods and employing a Gaussian multiplier bootstrap to obtain critical values, the test is shown to be asymptotically correctly sized and consistent. Simulation studies indicate good finite-sample properties. In an empirical application, the test is used to study the validity of a game-theoretical model for discount store market entry, treating equilibrium beliefs as nonparametric conditional expectations. The test indicates that Walmart and Kmart entry decisions do not result from a static discrete game of incomplete information with linearly specified profits.

U2 - 10.1017/S0266466622000615

DO - 10.1017/S0266466622000615

M3 - Journal article

AN - SCOPUS:85144086340

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

ER -

ID: 343129836