Pedro H. C. Sant'Anna, Xiaojun Song
arXiv 30 Mar 2020 · Econometrics · publishedJournal of nonparametric statistics (2025) · 2 citations (OpenAlex)
arXiv:2003.13803 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a new class of nonparametric tests for the correct specification of models based on conditional moment restrictions, paying particular attention to generalized propensity score models. The test procedure is based on two different projection arguments, leading to test statistics that are suitable to setups with many covariates, and are (asymptotically) invariant to the estimation method used to estimate the nuisance parameters. We show that our proposed tests are able to detect a broad class of local alternatives converging to the null at the usual parametric rate and illustrate its attractive power properties via simulations. We also extend our proposal to test parametric or semiparametric single-index-type models.
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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 | Escanciano (2006) A consistent diagnostic test for regression models using projections | 1.000 | 16 | 4 | 100% |
| 2 | Escanciano \ Goh (2014) Specification analysis of linear quantile models | 1.000 | 5 | 3 | 100% |
| Garcia-Portugues2014 | unmatched citation key Garcia-Portugues2014 | 0.874 | 5 | 2 | 100% |
| 4 | Sant'Anna \ Song (2019) Specification tests for the propensity score | 0.811 | 4 | 2 | 100% |
| 5 | Linden, Uysal, Ryan \ Adams (2016) Estimating causal effects for multivalued treatments: A comparison of approaches | 0.737 | 3 | 2 | 100% |
| 6 | Neyman (1959) Optimal Asymptotic Tests of Composite Statistical Hypotheses | 0.737 | 3 | 2 | 100% |
| 7 | Escanciano (2008) Joint and marginal specification tests for conditional mean and variance models | 0.644 | 2 | 2 | 100% |
| 8 | Kim, Balakrishnan \ Wasserman (2020) Robust Multivariate Nonparametric Tests via Projection-Averaging | 0.644 | 2 | 2 | 100% |
| 9 | Stute (1997) Nonparametric model checks for regression | 0.644 | 2 | 2 | 100% |
| 10 | Zhu, Xu, Li \ Zhong (2017) Projection correlation between two random vectors | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 55 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.