A0708
Title: Misspecified semiparametric models selection
Authors: Francesco Bravo - University of York (United Kingdom) [presenting]
Abstract: Tests are proposed for comparing two possibly misspecified semiparametric moment conditions models with weakly dependent data. The asymptotic distributions of the resulting test statistics are not standard but can be consistently estimated by a particular weighted bootstrap procedure. The results are illustrated with a simulation study and an empirical application.