Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/79339 
Year of Publication: 
2004
Series/Report no.: 
cemmap working paper No. CWP15/04
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
It satisfies mild regularity conditions but is otherwise unknown. The paper presents test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X . The need to test this hypothesis arises frequently in economics. The test does not require nonparametric instrumental-variables (IV) estimation of g and is not subject to the ill-posed inverse problem that nonparametric IV estimation entails. The test is consistent whenever g differs from the conditional mean function of Y on a set of non-zero probability. Moreover, the power of the test is arbitrarily close to 1 uniformly over a set of functions g whose distance from the conditional mean function is O(n-1/2), where is the sample size.
Subjects: 
Hypothesis test , instrumental variables , specification testing , consistent testing
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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