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A specification test for nonparametric instrumental variable regression

Contributors

Gagliardini, P.; Scaillet, Olivier

Collection

  • Cahiers de recherche; 2007.06

Publication date

2007

Abstract

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov Regularized estimator of the functional parameter. Its asymptotic distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values. We explore the finite sample behavior with Monte Carlo experiments. Finally, we provide an empirical application for an estimated Engel curve.

Keywords

  • Specification Test
  • Nonparametric Regression
  • Instrumental Variables
  • Minimum Distance
  • Tikhonov Regularization
  • Ill-posed Inverse Problems
  • Generalized Method of Moments
  • Bootstrap
  • Engel Curve

UNIGE affiliation entities

Citation (ISO format)

GAGLIARDINI, P., SCAILLET, Olivier. A specification test for nonparametric instrumental variable regression. 2007

Main files (1)

Report

Identifiers

  • PID : unige:5734
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936downloads

Technical informations

Creation

15/04/2010 12:19:36

First validation

15/04/2010 12:19:36

Update

14/03/2023 15:26:22

Status update

14/03/2023 15:26:21

Last indexation

29/10/2024 14:21:38
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