کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096912 | 1376557 | 2010 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing semiparametric conditional moment restrictions using conditional martingale transforms
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Testing semiparametric conditional moment restrictions using conditional martingale transforms Testing semiparametric conditional moment restrictions using conditional martingale transforms](/preview/png/5096912.png)
چکیده انگلیسی
This paper studies conditional moment restrictions that contain unknown nonparametric functions, and proposes a general method of obtaining asymptotically distribution-free tests via martingale transforms. Examples of such conditional moment restrictions are single index restrictions, partially parametric regressions, and partially parametric quantile regressions. This paper introduces a conditional martingale transform that is conditioned on the variable in the nonparametric function, and shows that we can generate distribution-free tests of various semiparametric conditional moment restrictions using this martingale transform. The paper proposes feasible martingale transforms using series estimation and establishes their asymptotic validity. Some results from a Monte Carlo simulation study are presented and discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 154, Issue 1, January 2010, Pages 74-84
Journal: Journal of Econometrics - Volume 154, Issue 1, January 2010, Pages 74-84
نویسندگان
Kyungchul Song,