Abstract
This paper develops a specification test for functional form for models identified by a conditional moment restriction, including IV and GMM settings. The framework is one where the moment restriction is specified as a function of data, a finite-dimensional parameter vector and a non-parametric function (an infinite-dimensional parameter vector). The null hypothesis is that the moment restriction does not depend on the non-parametric function. The test is relatively easy to implement and its asymptotic distribution is known. The test performs well in simulation experiments.
Original language | English |
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Pages (from-to) | 462-489 |
Number of pages | 28 |
Journal | Econometrics Journal |
Volume | 15 |
Issue number | 3 |
DOIs | |
Publication status | Published - Oct 2012 |