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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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Abstract
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 Classification: | C12 - Hypothesis Testing C14 - Semiparametric and Nonparametric Methods C15 - Simulation Methods C52 - Model Evaluation and Selection |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 16 Dec 2016 15:07 |
| Last Modified: | 02 Apr 2021 15:54 |
| OAI Identifier: | oai:tse-fr.eu:31275 |
| URI: | https://publications.ut-capitole.fr/id/eprint/22620 |
