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Model-selection tests for conditional moment restriction models
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DOI：10.1111/ectj.12081.png)
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We propose a Vuong-type model-selection test for models defined by conditional moment restrictions. The moment restrictions that define the models can be standard equality restrictions that point-identify the model parameters, or moment equality or inequality restrictions that partially identify the model parameters. The test uses a new average generalized empirical likelihood criterion function designed to incorporate full restriction of the conditional model. We also introduce a new adjustment to the test statistic that makes it asymptotically pivotal whether the candidate models are nested or non-nested. The test uses simple standard normal critical values and is shown to be asymptotically similar, to be consistent against all fixed alternatives, and to have non-trivial power against n-1/2-local alternatives. Monte Carlo simulations demonstrate that the finite sample performance of the test is in accordance with the theoretical prediction.
Keyword:
Asymptotic size
Conditional moment inequalities
Generalized empirical likelihood
Model-selection test
Partial identification
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