This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test is not subject to the ill-posed inverse problem of nonparametric instrumental variables estimation. Under mild conditions, the test is consistent against any alternative model. In large samples, its power is arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is O n−1/2, where n is the sample size. Monte Carlo simulations illustrate the finite-sample performance of the test
There are many environments in econometrics which require nonseparable modeling of a structural dist...
This paper develops methods for hypothesis testing in a nonparametric instrumental vari-ables (IV) s...
This paper is concerned with tests of restrictions on the sample path of condi-tional quantile proce...
This paper is concerned with inference about a function g that is identified by a conditional quanti...
This paper is concerned with inference about a function g that is identified by a conditional moment...
This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental v...
This paper is concerned with inference about a function g that is identified by a conditional moment...
We consider nonparametric estimation of a regression function that is identified by requiring a spec...
There are many environments in econometrics which require nonseparable modeling of a structural dist...
We consider nonparametric estimation of a regression function that is identified by requiring a spec...
We consider testing for correct specification of a nonparametric instrumental variable regression. I...
This paper proposes a fully nonparametric procedure for testing conditional quantile independence. T...
We consider testing for correct specification of a nonparametric instrumental variable regression. I...
In this paper, we develop robust inference procedures for an instrumental variables model defined by...
A Specification Test for Nonparametric Instrumental Variable Regression We consider testing for corr...
There are many environments in econometrics which require nonseparable modeling of a structural dist...
This paper develops methods for hypothesis testing in a nonparametric instrumental vari-ables (IV) s...
This paper is concerned with tests of restrictions on the sample path of condi-tional quantile proce...
This paper is concerned with inference about a function g that is identified by a conditional quanti...
This paper is concerned with inference about a function g that is identified by a conditional moment...
This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental v...
This paper is concerned with inference about a function g that is identified by a conditional moment...
We consider nonparametric estimation of a regression function that is identified by requiring a spec...
There are many environments in econometrics which require nonseparable modeling of a structural dist...
We consider nonparametric estimation of a regression function that is identified by requiring a spec...
We consider testing for correct specification of a nonparametric instrumental variable regression. I...
This paper proposes a fully nonparametric procedure for testing conditional quantile independence. T...
We consider testing for correct specification of a nonparametric instrumental variable regression. I...
In this paper, we develop robust inference procedures for an instrumental variables model defined by...
A Specification Test for Nonparametric Instrumental Variable Regression We consider testing for corr...
There are many environments in econometrics which require nonseparable modeling of a structural dist...
This paper develops methods for hypothesis testing in a nonparametric instrumental vari-ables (IV) s...
This paper is concerned with tests of restrictions on the sample path of condi-tional quantile proce...