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Bilinear form test statistics for extremum estimation

Author

Listed:
  • Federico Crudu
  • Felipe Osorio

Abstract

This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework. 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 ?nite samples

Suggested Citation

  • Federico Crudu & Felipe Osorio, 2019. "Bilinear form test statistics for extremum estimation," Department of Economics University of Siena 804, Department of Economics, University of Siena.
    • Handle: RePEc:usi:wpaper:804
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    File URL: http://repec.deps.unisi.it/quaderni/804.pdf
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    More about this item

    Keywords

    Extremum estimation; Gradient statistic; Bilinear form test; Nonlinear hypothesis.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other

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