Abstract
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.
Keywords
Conditional Moment Restrictions; Hypothesis Testing; Smoothing Methods; Bootstrap;
JEL codes
- C12: Hypothesis Testing: General
- C14: Semiparametric and Nonparametric Methods: General
- C15: Statistical Simulation Methods: General
- C52: Model Evaluation, Validation, and Selection
Reference
Pascal Lavergne, and Pierre Nguimkeu, “A Hausman Specification Test of Conditional Moment Restrictions”, TSE Working Paper, n. 16-743, December 2016.
See also
Published in
TSE Working Paper, n. 16-743, December 2016