Résumé
This paper addresses the issue of detecting misspecified conditional moment restrictions (CMR). We propose a new Hausman-type test based on the comparison of an efficient estimator with an ineficient one, both derived by semiparametrically estimating the CMR using different bandwidths. The proposed test statistic is asymptotically chi-squared distributed under correct specification. We propose a general bootstrap procedure for computing critical values in small samples. The testing procedures are easy to implement and simulation results show that they perform well in small samples. An empirical application to a model of female formal labor force participation and wage determination in urban Ghana is provided.
Mots-clés
Conditional Moment Restrictions; Hypothesis Testing; Smoothing Methods; Bootstrap;
Codes JEL
- C12: Hypothesis Testing: General
- C14: Semiparametric and Nonparametric Methods: General
- C15: Statistical Simulation Methods: General
- C52: Model Evaluation, Validation, and Selection
Référence
Pascal Lavergne et Pierre Nguimkeu, « A Hausman Specification Test of Conditional Moment Restrictions », TSE Working Paper, n° 16-743, décembre 2016.
Voir aussi
Publié dans
TSE Working Paper, n° 16-743, décembre 2016