Testing overidentifying restrictions with a restricted parameter space
Philipp Ketz
- Fonction : Auteur
- PersonId : 743121
- IdHAL : philippketz
- ORCID : 0000-0002-0178-640X
Résumé
We show that the standard test for testing overidentifying restrictions, which compares the J-statistic (Hansen, 1982) to critical values, does not control asymptotic size when the true parameter vector is allowed to lie on the boundary of the (optimization) parameter space. We also propose a modified J-statistic that, under the null hypothesis, is asymptotically distributed, such that the resulting test does control asymptotic size.
Domaines
Economies et finances| Format du dépôt | Notice |
|---|---|
| Type de dépôt | Article dans une revue |
| Titre |
en
Testing overidentifying restrictions with a restricted parameter space
|
| Résumé |
en
We show that the standard test for testing overidentifying restrictions, which compares the J-statistic (Hansen, 1982) to critical values, does not control asymptotic size when the true parameter vector is allowed to lie on the boundary of the (optimization) parameter space. We also propose a modified J-statistic that, under the null hypothesis, is asymptotically distributed, such that the resulting test does control asymptotic size.
|
| Auteur(s) |
Philipp Ketz
1, 2
1
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
2
PJSE -
Paris Jourdan Sciences Economiques
( 1171428 )
- 48 boulevard Jourdan 75014 Paris
- France
|
| Langue du document |
Anglais
|
| Nom de la revue |
|
| Vulgarisation |
Non
|
| Comité de lecture |
Oui
|
| Audience |
Internationale
|
| Date de publication |
2019-12
|
| Volume |
185
|
| Domaine(s) |
|
| DOI | 10.1016/j.econlet.2019.108743 |
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