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.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP36/12
- Classification
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Wirtschaft
- Subject
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Conditional Moment Inequalities
Minimax Rate Optimality
- Event
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Geistige Schöpfung
- (who)
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Chetverikov, Denis
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2012
- DOI
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doi:10.1920/wp.cem.2012.3612
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chetverikov, Denis
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2012
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