In this paper we consider the properties of a simple test of parameter restrictions based on standard two-step efficient GMM estimators. The test is computed simply as the difference between the minimised values of the GMM criterion function in the restricted and unrestricted models. We compare...

This paper is about identification and estimation in a triangular nonparametric structural model with instrumental variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional distribution function of the endogenous variable given...