Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246795 
Year of Publication: 
2021
Series/Report no.: 
cemmap working paper No. CWP27/21
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
This paper provides a test for completeness in a class of nonparametric specification with an additive and independent error term. It is known that such a nonparametric location family of functions is complete if and only if the characteristic function of the error term has no zeros on the real line. Because a zero of the error characteristic function implies that of an observed marginal distribution, we propose a simple test for zeros of characteristic function of the observed distribution, in which rejection of the null hypothesis implies the completeness. This test is applicable to many popular setting, such as nonparametric regression models with instrumental variables, and nonclassical measurement error models. We describe the asymptotic behavior of the tests under the null and alternative hypotheses and investigate the finite sample properties of the proposed test through a Monte Carlo study. We illustrate our method empirically by estimating a measurement error model using the CPS/SSR 1978 exact match file.
Subjects: 
Completeness test
Nonparametric IV regression models
Nonclassical measurement error models
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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