TESTING A CLASS OF SEMI- OR NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS

IF 1 4区经济学 Q3 ECONOMICS

Econometric Theory Pub Date : 2022-12-05 DOI:10.1017/s0266466622000615

Jesper Riis-Vestergaard Sørensen

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Abstract

This paper proposes a new test for a class of conditional moment restrictions (CMRs) whose parameterization involves unknown, unrestricted conditional expectation functions. Motivating examples of such CMRs arise from models of discrete choice under uncertainty including certain static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982, Journal of Econometrics 20, 105–134) goodness-of-fit test of a parametric model for the conditional mean. Estimating conditional expectations using series methods and employing a Gaussian multiplier bootstrap to obtain critical values, the test is shown to be asymptotically correctly sized and consistent. Simulation studies indicate good finite-sample properties. In an empirical application, the test is used to study the validity of a game-theoretical model for discount store market entry, treating equilibrium beliefs as nonparametric conditional expectations. The test indicates that Walmart and Kmart entry decisions do not result from a static discrete game of incomplete information with linearly specified profits.

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用级数法检验一类半参数或非参数条件矩约束模型

针对一类参数化涉及未知的、不受限制的条件期望函数的条件矩约束，提出了一种新的检验方法。此类cmr的激励例子来自不确定性下的离散选择模型，包括某些不完全信息的静态博弈。所提出的检验可以看作是Bierens (1982, Journal of Econometrics, 20,105 - 134)对条件均值参数模型的拟合优度检验的半/非参数推广。使用序列方法估计条件期望并采用高斯乘法器自举来获得临界值，测试显示出渐近正确的大小和一致性。仿真研究表明具有良好的有限样本性能。在实证应用中，该检验用于研究折扣商店市场进入的博弈论模型的有效性，将均衡信念视为非参数条件期望。检验表明，沃尔玛和凯马特的进入决策不是由具有线性指定利润的不完全信息的静态离散博弈产生的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.