对具有多个条件矩不等式的模型进行简单的规格检验

IF 9.9 3区 经济学 Q1 ECONOMICS
Mathieu Marcoux , Thomas M. Russell , Yuanyuan Wan
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引用次数: 0

摘要

本文提出了一种简单的规范检验方法,适用于具有大量或可能无法计数的无限条件矩(不)相等的部分识别模型。该方法在弱假设条件下有效,允许弱识别和无差异矩条件。在构建临界值时,通过重复使用检验统计量中某些计算成本较高的部分,可以简化计算。由于假设较弱,该程序面临着一系列新的有趣理论问题,我们通过对同一零假设进行多次检验的非常规样本分割程序,证明可以解决这些问题。由此产生的规范检验对一大类数据生成过程的规模进行了统一控制,对固定的替代方案具有趋向于 1 的功率,并对我们所描述的某些局部替代方案具有功率。最后,我们在三个模拟练习中演示了测试程序。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A simple specification test for models with many conditional moment inequalities

This paper proposes a simple specification test for partially identified models with a large or possibly uncountably infinite number of conditional moment (in)equalities. The approach is valid under weak assumptions, allowing for both weak identification and non-differentiable moment conditions. Computational simplifications are obtained by reusing certain expensive-to-compute components of the test statistic when constructing the critical values. Because of the weak assumptions, the procedure faces a new set of interesting theoretical issues which we show can be addressed by an unconventional sample-splitting procedure that runs multiple tests of the same null hypothesis. The resulting specification test controls size uniformly over a large class of data generating processes, has power tending to 1 for fixed alternatives, and has power against certain local alternatives which we characterize. Finally, the testing procedure is demonstrated in three simulation exercises.

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来源期刊
Journal of Econometrics
Journal of Econometrics 社会科学-数学跨学科应用
CiteScore
8.60
自引率
1.60%
发文量
220
审稿时长
3-8 weeks
期刊介绍: The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.
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