Bilinear form test statistics for extremum estimation
Econometrics
2021-08-10 v1
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.
Keywords
Cite
@article{arxiv.1912.01410,
title = {Bilinear form test statistics for extremum estimation},
author = {Federico Crudu and Felipe Osorio},
journal= {arXiv preprint arXiv:1912.01410},
year = {2021}
}
Comments
6 pages, 12 figures