Arbeitspapier
Adaptive test of conditional moment inequalities
In this paper, I construct a new test of conditional moment inequalities based on studentized kernel estimates of moment functions. The test automatically adapts to the unknown smoothness of the moment functions, has uniformly correct asymptotic size, and is rate optimal against certain classes of alternatives. Some existing tests have nontrivial power against n-1/2-local alternatives of the certain type whereas my method only allows for nontrivial testing against (n / log n)- 1/2-local alternatives of this type. There exist, however, large classes of sequences of well-bahaved alternatives against which the test developed in this paper is consistent and those tests are not.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP36/12
- Klassifikation
-
Wirtschaft
- Thema
-
Conditional Moment Inequalities
Minimax Rate Optimality
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chetverikov, Denis
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2012
- DOI
-
doi:10.1920/wp.cem.2012.3612
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chetverikov, Denis
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2012
Ähnliche Objekte (12)
Conditional moment tests for parametric duration models
Testing Multiplicative Error Models Using Conditional Moment Tests
Testing multiplicative error models using conditional moment tests
Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
Bootstrapping the Conditional Moment Test for Parametric Duration Models
Testing many moment inequalities
Testing many moment inequalities
Testing many moment inequalities
Specification tests for partially identified models defined by moment inequalities
Specification tests for partially identified models defined by moment inequalities
Alternative models for moment inequalities
Conditional moment tests for parametric duration models
Testing Multiplicative Error Models Using Conditional Moment Tests
Testing multiplicative error models using conditional moment tests
Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
Bootstrapping the Conditional Moment Test for Parametric Duration Models
Testing many moment inequalities
Testing many moment inequalities
Testing many moment inequalities
Specification tests for partially identified models defined by moment inequalities
Specification tests for partially identified models defined by moment inequalities
Alternative models for moment inequalities
Conditional moment tests for parametric duration models
Testing Multiplicative Error Models Using Conditional Moment Tests
Testing multiplicative error models using conditional moment tests
Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
Bootstrapping the Conditional Moment Test for Parametric Duration Models
Testing many moment inequalities
Testing many moment inequalities
Testing many moment inequalities
Specification tests for partially identified models defined by moment inequalities
Specification tests for partially identified models defined by moment inequalities