Goodness-of-fit tests based on series estimators in nonparametric instrumental regression

Breunig, Christoph

Preview

PDF
Breunig_13-12.pdf - Published
Download (486kB)

URL:	https://ub-madoc.bib.uni-mannheim.de/32111
URN:	urn:nbn:de:bsz:180-madoc-321110
Document Type:	Working paper
Year of publication:	2012
The title of a journal, publication series:	Working Paper Series
Volume:	12-13
Place of publication:	Mannheim
Publication language:	English
Institution:	School of Law and Economics > Statistik (Mammen)
MADOC publication series:	Department of Economics > Working Paper Series
Subject:	310 Statistics
Classification:	JEL: C12 , C14,
Abstract:	This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the vector of regressors. The tests are asymptotically normally distributed under correct specification and consistent against any alternative model. Under a sequence of local alternative hypotheses, the asymptotic distribution of the tests is derived. Moreover, uniform consistency is established over a class of alternatives whose distance to the null hypothesis shrinks appropriately as the sample size increases.