Journal article
Tests of additional conditional moment restrictions
PMDC Parente, RJ Smith
Journal of Econometrics | Elsevier | Published : 2017
Abstract
The primary focus of this article is the provision of tests for the validity of a set of conditional moment constraints additional to those defining the maintained hypothesis that are relevant for independent cross-sectional data contexts. The point of departure and principal contribution of the paper is the explicit and full incorporation of the conditional moment information defining the maintained hypothesis in the design of the test statistics. Thus, the approach mirrors that of the classical parametric likelihood setting by defining restricted tests in contradistinction to unrestricted tests that partially or completely fail to incorporate the maintained information in their formulation..
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Funding Acknowledgements
We would like to thank an Editor, Associate Editor and referees for their helpful and constructive comments on previous versions of the paper. The authors are also grateful for comments on versions of this paper by participants at the CREST-INSEE Seminaire Malinvaud, the CEMFI-UC3M Econometrics Seminar and the Montreal Econometrics Seminar, Microdata Methods and Practice: A Cemmap Celebration, the IMS Empirical Likelihood Workshop, National University of Singapore, the Info-Metrics Institute Conference Fall 2014, the 2015 New Zealand Econometric Study Group Meeting, Econometrics Seminars at Cowles, Yale University, CORE and GREQAM, seminars at Brown and Monash Universities and the Universities of Bristol, Cambridge, Hull, Porto, Surrey and Tasmania. Paulo M.D.C. Parente acknowledges the financial support of Fundacao para a Ciencia e a Tecnologia.