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- W3049403861 abstract "This paper proposes a new test for a class of conditional moment restrictions whose parameterization involves unknown, unrestricted conditional expectation functions. Examples of such conditional moment restrictions are conditional mean independence (leading to a nonparametric significance test) and conditional homoskedasticity (with an otherwise unrestricted conditional mean) and also arise from models of single-agent discrete choice under uncertainty and static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982) goodness-of-fit test of a parametric model for the conditional mean. Estimating conditional expectations using series methods and employing a Gaussian multiplier bootstrap to obtain critical values, the resulting test is shown to be asymptotically correctly sized and consistent. A simulation study applies the procedure to test the specification of a two-player, binary-action static game of incomplete information, treating equilibrium beliefs as nonparametric conditional expectations." @default.
- W3049403861 created "2020-08-21" @default.
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- W3049403861 date "2020-08-01" @default.
- W3049403861 modified "2023-09-27" @default.
- W3049403861 title "Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods" @default.
- W3049403861 hasPublicationYear "2020" @default.
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