A Hausman Specification Test of Conditional Moment Restrictions

Lavergne, Pascal and Nguimkeu, Pierre (2016) A Hausman Specification Test of Conditional Moment Restrictions. TSE Working Paper, n. 16-743, Toulouse

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Official URL: http://tse-fr.eu/pub/31275


This paper addresses the issue of detecting misspecified conditional moment restrictions (CMR). We propose a new Hausman-type test based on the comparison of an efficient estimator with an ineficient one, both derived by semiparametrically estimating the CMR using different bandwidths. The proposed test statistic is asymptotically chi-squared distributed under correct specification. We propose a general bootstrap procedure for computing critical values in small samples. The testing procedures are easy to implement and simulation results show that they perform well in small samples. An empirical application to a model of female formal labor force participation and wage determination in urban Ghana is provided.

Item Type: Monograph (Working Paper)
Language: English
Date: December 2016
Place of Publication: Toulouse
Uncontrolled Keywords: Conditional Moment Restrictions, Hypothesis Testing, Smoothing Methods, Bootstrap
JEL codes: C12 - Hypothesis Testing
C14 - Semiparametric and Nonparametric Methods
C15 - Simulation Methods
C52 - Model Evaluation and Selection
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 16 Dec 2016 15:07
Last Modified: 07 Mar 2018 13:24
OAI ID: oai:tse-fr.eu:31275
URI: http://publications.ut-capitole.fr/id/eprint/22620

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