Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods

Publikation: Working paper › Forskning

Standard

Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods. / Sørensen, Jesper Riis-Vestergaard.

2020.

Publikation: Working paper › Forskning

Harvard

Sørensen, JR-V 2020 'Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods'. https://doi.org/10.2139/ssrn.3667599

APA

Sørensen, J. R-V. (2020). Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Nr. 20-04 https://doi.org/10.2139/ssrn.3667599

Vancouver

Sørensen JR-V. Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods. 2020 sep. 3. https://doi.org/10.2139/ssrn.3667599

Author

Sørensen, Jesper Riis-Vestergaard. / Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods. 2020. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 20-04).

Bibtex

@techreport{bff19aab1f9248a9abf9a4b74e5b3553,
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 whose parameterization involves unknown, unrestricted conditional expectation functions. Examples of such conditional moment restrictions are conditional mean independence (leading to a nonparametric significance test) and conditional homoskedasticity (with an otherwise unrestricted conditional mean) and also arise from models of single-agent discrete choice under uncertainty and static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982) 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 resulting test is shown to be asymptotically correctly sized and consistent. A simulation study applies the procedure to test the specification of a two-player, binary-action static game of incomplete information, treating equilibrium beliefs as nonparametric conditional expectations.",
keywords = "Omnibus specification testing, Semiparametric, Conditional moment restriction, Conditional expectation, Series estimation, Bootstrap, Cramer-von Mises distance, C01, C14",
author = "S{\o}rensen, {Jesper Riis-Vestergaard}",
year = "2020",
month = sep,
day = "3",
doi = "10.2139/ssrn.3667599",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "20-04",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods

AU - Sørensen, Jesper Riis-Vestergaard

PY - 2020/9/3

Y1 - 2020/9/3

N2 - This paper proposes a new test for a class of conditional moment restrictions whose parameterization involves unknown, unrestricted conditional expectation functions. Examples of such conditional moment restrictions are conditional mean independence (leading to a nonparametric significance test) and conditional homoskedasticity (with an otherwise unrestricted conditional mean) and also arise from models of single-agent discrete choice under uncertainty and static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982) 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 resulting test is shown to be asymptotically correctly sized and consistent. A simulation study applies the procedure to test the specification of a two-player, binary-action static game of incomplete information, treating equilibrium beliefs as nonparametric conditional expectations.

AB - This paper proposes a new test for a class of conditional moment restrictions whose parameterization involves unknown, unrestricted conditional expectation functions. Examples of such conditional moment restrictions are conditional mean independence (leading to a nonparametric significance test) and conditional homoskedasticity (with an otherwise unrestricted conditional mean) and also arise from models of single-agent discrete choice under uncertainty and static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982) 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 resulting test is shown to be asymptotically correctly sized and consistent. A simulation study applies the procedure to test the specification of a two-player, binary-action static game of incomplete information, treating equilibrium beliefs as nonparametric conditional expectations.

KW - Omnibus specification testing

KW - Semiparametric

KW - Conditional moment restriction

KW - Conditional expectation

KW - Series estimation

KW - Bootstrap

KW - Cramer-von Mises distance

KW - C01

KW - C14

U2 - 10.2139/ssrn.3667599

DO - 10.2139/ssrn.3667599

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods

ER -

ID: 248295489