Bilinear form test statistics for extremum estimation

• Tác giả: Federico Crudu, Felipe Osorio
• Ngôn ngữ: eng
• Ký hiệu phân loại: 519.5 Statistical mathematics
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163677

Tóm tắt

Comment: 6 pages, 12 figuresThis 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.