TESTING A CLASS OF SEMI- OR NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS
利用级数方法检验一类半参数或非参数条件矩限制模型
This paper proposes a new test for a class of conditional moment restrictions (CMRs) whose parameterization involves unknown, unrestricted conditional expectation functions. Motivating examples of such CMRs arise from models of discrete choice under uncertainty including certain static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982, Journal of Econometrics 20, 105–134) goodness-of-fit test of a…