Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79277
Authors: 
Horowitz, Joel L.
Lee, Sokbae
Year of Publication: 
2007
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP02/07
Abstract: 
This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test is not subject to the ill-posed inverse problem of nonparametric instrumental variables estimation. Under mild conditions, the test is consistent against any alternative model. In large samples, its power is arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is O (n1/2), where n is the sample size. Monte Carlo simulations illustrate the finite-sample performance of the test.
Subjects: 
Hypothesis test , quantile estimation , instrumental variables , specification testing , consistent testing
JEL: 
C12
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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