arXiv 3 Dec 2019 · Econometrics · publishedEconomics Letters (2019)
arXiv:1912.01410 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework with particular interest in nonlinear hypothesis. We show that the proposed statistic converges to a conventional chi-square limit. A Monte Carlo experiment suggests that the test statistic works well in finite samples.
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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 | Terrell, G.R (2002) The gradient statistic | 0.928 | 4 | 3 | 100% |
| 2 | Gourieroux, C., Monfort, A (1995) Statistics and Econometrics Models: Testing, Confidence Regions, Model Selection and Asymptotic Theory | 0.843 | 5 | 3 | 60% |
| 3 | Hansen, B.E (2006) Edgeworth expansions for the Wald and GMM statistics for nonlinear restrictions | 0.737 | 3 | 2 | 100% |
| 4 | Dagenais, M.G., Dufour, J.-M (1991) Invariance, nonlinear models, and asymptotic tests | 0.644 | 2 | 2 | 100% |
| 5 | Hayashi, F (2000) Econometrics | 0.644 | 2 | 2 | 100% |
| 6 | Lemonte, A (2016) The Gradient Test: Another Likelihood-based Test | 0.644 | 2 | 2 | 100% |
| 7 | Boos, D.D (1992) On generalized score tests | 0.405 | 1 | 1 | 100% |
| 8 | Ferrari, D., Yang, Y (2010) Maximum L$q$-likelihood estimation | 0.405 | 1 | 1 | 100% |
| 9 | Gregory, A.W., Veall, M.R (1985) Formulating Wald tests of nonlinear restrictions | 0.405 | 1 | 1 | 100% |
| 10 | Lafontaine, F., White, K.J (1986) Obtaining any Wald statistic you want | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 16 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | An invariant modification of the bilinear form test | 1.000 | 6 | 4 |