A0872
Title: Consistent specification testing in nonparametric triangular simultaneous equations models
Authors: Jen-Che Liao - National Chengchi University (Taiwan) [presenting]
Abstract: Consistent specification tests are developed for parametric structures within the nonparametric triangular simultaneous equations model of a prior study. The proposed tests adopt an empirical process framework based on conditional moment restrictions, incorporating nonparametric estimation of the additive component under the null hypothesis. To account for parameter estimation uncertainty, a projection-based weight function is employed. The asymptotic properties of the test are analyzed under both the null and alternative hypotheses, and a multiplier bootstrap procedure is proposed for critical value approximation. Monte Carlo simulations are conducted to assess the finite-sample performance of the test in terms of size and power.
