Bilinear form test statistics for extremum estimation

被引：0

作者：

Crudu, Federico ^{[1
,3
]}

Osorio, Felipe ^{[2
]}

机构：

[1] Univ Siena, Dept Econ & Stat, Piazza San Francesco 7-8, I-53100 Siena, Italy

[2] Univ Tecn Federico Santa Maria, Dept Matemat, Valparaiso, Chile

[3] Ctr North South Econ Res CRENoS, Via S Giorgio 12, I-09124 Cagliari, Italy

来源：

ECONOMICS LETTERS | 2020年 / 187卷

关键词：

Extremum estimation; Gradient statistic; Bilinear form test; Nonlinear hypothesis;

D O I：

10.1016/j.econlet.2019.108885

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：4

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