Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129532
Authors: 
Breunig, Christoph
Year of Publication: 
2012
Series/Report no.: 
Working Paper Series, Department of Economics, University of Mannheim 12-13
Abstract: 
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 are asymptotically normally distributed under correct specification and consistent against any alternative model. Under a sequence of local alternative hypotheses, the asymptotic distribution 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.
JEL: 
C12
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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