arXiv 23 Sep 2019 · Econometrics · publishedJournal of Econometrics (2014) · 26 citations (OpenAlex)
arXiv:1909.10133 · PDF · DOI · OpenAlex · Extracted main text
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' asymptotic distributions under correct specification are derived and their consistency against any alternative model is shown. Under a sequence of local alternative hypotheses, the asymptotic distributions 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. A Monte Carlo study examines finite sample performance of the test statistics.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | R. Blundell and J. Horowitz (2007) A nonparametric test of exogeneity | 1.000 | 6 | 4 | 100% |
| 2 | J. L. Horowitz (2006) Testing a parametric model against a nonparametric alternative with identification through instrumental variables | 1.000 | 6 | 4 | 100% |
| 3 | J. L. Horowitz (2012) Specification testing in nonparametric instrumental variables estimation | 1.000 | 6 | 3 | 100% |
| 4 | J. L. Horowitz (2011) Applied nonparametric instrumental variables estimation | 0.928 | 4 | 3 | 100% |
| 5 | J. Johannes and M. Schwarz (2010) Adaptive nonparametric instrumental regression by model selection | 0.794 | 6 | 3 | 50% |
| 6 | X. Chen and M. Rei (2011) On rate optimality for ill-posed inverse problems in econometrics | 0.737 | 3 | 2 | 100% |
| 7 | W. K. Newey (1997) Convergence rates and asymptotic normality for series estimators | 0.644 | 3 | 2 | 67% |
| 8 | P. Hall and J. L. Horowitz (2005) Nonparametric methods for inference in the presence of instrumental variables | 0.644 | 2 | 2 | 100% |
| 9 | Y. Hong and H. White (1995) Consistent specification testing via nonparametric series regression | 0.644 | 2 | 2 | 100% |
| 10 | G. Tripathi and Y. Kitamura (2003) Testing conditional moment restrictions | 0.644 | 2 | 2 | 100% |
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