Testing distributional assumptions using a continuum of moments
| Autor: | Marine Carrasco, Enrique Sentana, Dante Amengual |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
Characteristic function (probability theory) Applied Mathematics 05 social sciences Monte Carlo method Asymptotic distribution 01 natural sciences Tikhonov regularization 010104 statistics & probability Goodness of fit Sample size determination Regularization (physics) 0502 economics and business Applied mathematics 0101 mathematics 050205 econometrics Parametric statistics Mathematics |
| Zdroj: | Journal of Econometrics. 218:655-689 |
| ISSN: | 0304-4076 |
| DOI: | 10.1016/j.jeconom.2020.04.033 |
| Popis: | We propose specification tests for parametric distributions that compare the potentially complex theoretical and empirical characteristic functions using the continuum of moment conditions analogue to an overidentifying restrictions test, which takes into account the correlation between influence functions for different argument values. We derive its asymptotic distribution for fixed regularization parameter and when this vanishes with the sample size. We show its consistency against any deviation from the null, study its local power and compare it with existing tests. An extensive Monte Carlo exercise confirms that our proposed tests display good power in finite samples against a variety of alternatives. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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