Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/79277 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
cemmap working paper No. CWP02/07
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
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.
Schlagwörter: 
Hypothesis test , quantile estimation , instrumental variables , specification testing , consistent testing
JEL: 
C12
C14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
345.78 kB





Publikationen in EconStor sind urheberrechtlich geschützt.