Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25310
Authors: 
Hautsch, Nikolaus
Year of Publication: 
2008
Series/Report no.: 
SFB 649 discussion paper 2008,067
Abstract: 
We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification. Monte-Carlo investigations show that an appro priate choice of weighting function induces high power against various alternatives. We illustrate how to adapt the framework to test also out-of-sample moment restrictions, such as orthogonalities of prediction errors.
Subjects: 
Robust conditional moment tests
finite sample properties
multiplicative error models
prediction errors
JEL: 
C12
C22
C52
Document Type: 
Working Paper

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