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Details for article 3 of 15 found articles
| Title: |
A simple specification test for conditional moment restrictions |
| Author: |
Lee, Wei-Ming |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 14 (2007) nr. 11 pages 839-843 |
| Year: |
2007-09 |
| Contents: |
In this article we extend the martingale difference test of Kuan and Lee (2004) to tests of conditional moment restrictions involving unknown parameters. The proposed test is asymptotically pivotal, easy to implement and capable of diagnostic checking misspecifications of quantile regressions. The simulation results show that the proposed test performs quite well in finite samples. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 3 of 15 found articles
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