interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information … statistics and combine bootstrap inference with model selection. Our method optimizes asymptotic power by solving a data …, demonstrate the extent to which our inference procedure is superior to those available in the literature. …

We provide an overidentification test for a nonparametric treatment model where individuals are allowed to select into … treatment based on unobserved gains. Our test can be used to test the validity of instruments in a framework with essential … test statistic and characterize its asymptotic distribution and behavior under local alternatives. In simulations, we …

This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model … variables in a quantile regression model are exogenous can lead to highly misleading results. In addition, a test of exogeneity … based on an incorrectly specified parametric model can produce misleading results. This paper presents a test of exogeneity …

generalized likelihood ratio (GLR) type as introduced by Fan, Zhang and Zhang (2001) to nonparametric inference problems regarding … Khmaladze (1981, 1988) martingale transformation. The range of inference problems that may be addressed by the methods proposed …

. Nevertheless, ignoring the temporal dependence in small samples may not lead to accurate inference. We then propose an easy …-to-compute and more accurate inference procedure based on a "pre-asymptotic" sieve variance estimator that captures temporal … indicate that our scaled "pre-asymptotic" Wald test with F critical values has more accurate size in finite samples than the …

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental … that our results can be easily extended to a test of missing completely at random (MCAR) and miss- ing completely at random … conditional on covariates X (MCAR(X)). A Monte Carlo study examines finite sample performance of our test statistic. An empirical …

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental … of our test statistic. An empirical illustration analyzes the nonresponse mechanism in labor income questions. …

test. While there exists an increasing literature on how to find a proper smoothing parameter for the nonparametric … a test. In this article we discuss all choice questions. In particular we study the problem of bandwidth choice for the …