This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework with particular interest in nonlinear hypothesis. We show that the proposed statistic converges to a conventional chi-square limit. A Monte Carlo experiment suggests that the test statistic works well in finite samples.
Crudu, F., Osorio, F. (2020). Bilinear form test statistics for extremum estimation. ECONOMICS LETTERS, 187, 1-4 [10.1016/j.econlet.2019.108885].
Bilinear form test statistics for extremum estimation
Crudu F.;
2020-01-01
Abstract
This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework with particular interest in nonlinear hypothesis. We show that the proposed statistic converges to a conventional chi-square limit. A Monte Carlo experiment suggests that the test statistic works well in finite samples.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/11365/1087748