A simple specification test for conditional moment restrictions

In this article we extend the martingale difference test of Kuan and Lee (2004) to tests of conditional moment restrictions involving unknown parameters. The proposed test is asymptotically pivotal, easy to implement and capable of diagnostic checking misspecifications of quantile regressions. The simulation results show that the proposed test performs quite well in finite samples.

MoreLess

Year of publication:	2007
Authors:	Lee, Wei-Ming
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 14.2007, 11, p. 839-843
Publisher:	Taylor & Francis Journals

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005435594