Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096849 | Journal of Econometrics | 2009 | 12 Pages |
Abstract
This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test is not subject to the ill-posed inverse problem of nonparametric instrumental variable estimation. Under mild conditions, the test is consistent against any alternative model. In large samples, its power is arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is proportional to nâ1/2, where n is the sample size. Monte Carlo simulations illustrate the finite-sample performance of the test.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joel L. Horowitz, Sokbae Lee,