کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096510 1376532 2012 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
چکیده انگلیسی
We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional moment restrictions, we construct Kolmogorov-Smirnov and Cramér-von Mises type moment encompassing tests. Advantages of our tests over Otsu and Whang's (2011) tests are: (i) they are free from smoothing parameters, (ii) they can be applied to weakly dependent data, and (iii) they allow non-smooth moment functions. We derive the null distributions, validity of a bootstrap procedure, and local and global power properties of our tests. The simulation results show that our tests have reasonable size and power performance in finite samples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 167, Issue 2, April 2012, Pages 370-382
نویسندگان
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