Testing conditional moment restrictions

By Gautam Tripathi, Y. Kitamura. 2003

92 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/592f1681cc931be400484da7edafdb62d6b55be6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Wenceslao González-Manteiga
2. Rosa M. Crujeiras
3. Jiti Gao
4. S. Chen
5. Juan-Carlos Escanciano
6. Songxi Chen
7. Joel L. Horowitz
8. Cheng Yong Tang

In Statistics and Probability

1. Wenceslao González-Manteiga
2. Rosa M. Crujeiras
3. Songxi Chen
4. Jiti Gao
5. Juan-Carlos Escanciano
6. I. Van Keilegom
7. Cheng Yong Tang
8. S. Chen

Citations in the corpus

• An updated review of Goodness-of-Fit tests for regression models (2013, methodology): “Some previous references on this methodology can be consulted in Tripathi and Kitamura (2003) and Kitamura et al. (2004), and an extension to multidimensional response models can be found in Chen and Van Keilegom (2009a).”
• A Test for model specification of diffusion processes (2007, methodology): “Qin and Lawless [43] established EL for parameters defined by generalized estimating equations which is the broadest framework for EL formulation so far, which was extended by Kitamura [36] to dependent observations.”
• A review on empirical likelihood methods for regression (2009, background): “Tripathi and Kitamura (2003) propose an EL test for conditional moment restrictions.”
• Model Checks Using Residual Marked Empirical Processes (2004, background): “many others, see Tong (1990) , or more recently, Fan and Yao (2003).”
• ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS (2009, unknown): “See Tripathi and Kitamura (2003).”
• Empirical Likelihood Methods in Econometrics: Theory and Practice (2006, methodology): “Tripathi and Kitamura (2003) show the following: under the null hypothesis (6.7), (6.10) r C − h −s qc 1 (K) 2h −s qc 2 (K) d → N(0, 1). given that s ≤ 3.”
• Testing a parametric model against a nonparametric alternative with identification through instrumental variables (2004, methodology): “In contrast, the test of Tripathi and Kitamura (2003) has power only against local alternatives whose distance from the nullhypothesis model decreases more slowly than .”
• Efficient information theoretic inference for conditional moment restrictions (2005, unknown): “Tripathi and Kitamura (2003), henceforth TK, propose an EL-type statistic for testing the validity of conditional moment restrictions.”