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We propose two classes of consistent tests in parametric econometric models defined through multiple conditional moment restrictions. The first type of tests relies on nonparametric estimation, while the second relies on a functional of a marked empirical process. For both tests, a simulation...
Persistent link: https://www.econbiz.de/10005066185
A generalization of the Cauchy-Schwarz inequality for expectations of matrices is proved.
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We develop a novel approach to build checks of parametric regression models when many regressors are present, based on a class of rich enough semiparametric alternatives, namely single-index models. We propose an omnibus test based on the kernel method that performs against a sequence of...
Persistent link: https://www.econbiz.de/10005636350
We propose a new estimation method for models defined by conditional moment restrictions,that minimizes a distance criterion based on kernel smoothing. Whether the bandwidth parameter is fixed or decreases to zero with the sample size, our approach defines a whole class of estimators. We develop...
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For tests based on nonparametric methods, power crucially depends on the dimension of theconditioning variables, and specifically decreases with this dimension. This is known as the“curse of dimensionality." We propose a new general approach to nonparametric testing inhigh dimensional settings...
Persistent link: https://www.econbiz.de/10005823224
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We propose new data-driven smooth tests for a parametric regression function. The smoothing parameter is selected through a new criterion that favors a large smoothing parameter under the null hypothesis. The resulting test is adaptive rate-optimal and consistent against Pitman local...
Persistent link: https://www.econbiz.de/10005119127