错误选择下非线性限制的检验及其在检验理性期望假设中的应用

IF 2.9 4区经济学 Q1 ECONOMICS

Econometrics Journal Pub Date : 2020-05-09 DOI:10.1093/ectj/utaa010

Anil K. Bera, Gabriel Montes-Rojas, W. Sosa-Escudero, Javier Alejo

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引用次数: 1

摘要

本文针对非线性假设，提出了基于矩的广义拉格朗日乘子检验方法，该方法对局部错误指定的可能非线性备选方案具有鲁棒性。该过程基于给定非线性约束下参数的初始一致GMM估计。一组特定非线性假设的新检验是一致的，并且具有正确的渐近大小，而与另一组非线性假设是正确的还是局部错误指定无关。为了说明我们提出的测试的有用性，我们考虑使用美国数据来测试理性预期假设。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Tests for nonlinear restrictions under misspecified alternatives with an application to testing rational expectation hypotheses

This paper develops generalized method of moments-based (GMM-based) Lagrange multiplier tests for nonlinear hypotheses that are robust to locally misspecified possibly nonlinear alternatives. The procedure is based on an initial consistent GMM estimator of the parameters under a given set of nonlinear restrictions. The new test for one particular set of nonlinear hypotheses is consistent and has correct asymptotic size independently of whether the other, also nonlinear hypotheses, are correct or locally misspecified. To illustrate the usefulness of our proposed tests we consider testing rational expectations hypotheses using U.S. data.

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来源期刊

Econometrics Journal 管理科学-数学跨学科应用

CiteScore

4.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.