Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79342
Authors: 
Horowitz, Joel
Year of Publication: 
2004
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP14/04
Abstract: 
This paper is concerned with inference about a function g that is identified by a conditional moment 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 does not require nonparametric estimation of g and is not subject to the illposed inverse problem of nonparametric instrumental variables estimation. Under mild conditions, the test is consistent against any alternative model and has asymptotic power advantages over existing tests. Moreover, it has power arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is O(n-1/2), where n 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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