Testing semiparametric conditional moment restrictions using conditional martingale transforms

Journal of Econometrics

Volumn 154, Issue 1, 2010, Pages 74-84

  Song, Kyungchul ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Asymptotically distribution free tests; Conditional moment restrictions; Martingale transform; Semiparametric models

Indexed keywords

ASYMPTOTICALLY DISTRIBUTION-FREE TESTS; CONDITIONAL MOMENT RESTRICTIONS; CONDITIONAL MOMENTS; DISTRIBUTION-FREE TEST; GENERAL METHOD; MARTINGALE TRANSFORM; MONTE CARLO SIMULATION; NON-PARAMETRIC; PARAMETRIC REGRESSION; QUANTILE REGRESSION; SEMIPARAMETRIC; SEMIPARAMETRIC MODELS;

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; DISTRIBUTION FUNCTIONS; METHOD OF MOMENTS; MONTE CARLO METHODS;

MATHEMATICAL TRANSFORMATIONS;

EID: 70349845730     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.07.002     Document Type: Article

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