Arbeitspapier
On testing conditional moment restrictions: The canonical case
Let (x, z) be a pair of random vectors. We construct a new smoothed empirical likelihood based test for the hypothesis that E(z|x) a.s. = 0, and show that the test statistic is asymptotically normal under the null. An expression for the asymptotic power of this test under a sequence of local alternatives is also obtained. The test is shown to possess an optimality property in large samples. Simulation evidence suggests that it also behaves well in small samples.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2000,88
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tripathi, Gautam
Kitamura, Yuichi
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:kobv:11-10048146
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Tripathi, Gautam
- Kitamura, Yuichi
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2000
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