Locally Regular and Efficient Tests in Non-Regular Semiparametric Models
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866913620145733632 |
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| author | Lee, Adam |
| author_facet | Lee, Adam |
| contents | This paper considers hypothesis testing in semiparametric models which may be non-regular. I show that C($α$) style tests are locally regular under mild conditions, including in cases where locally regular estimators do not exist, such as models which are (semiparametrically) weakly identified. I characterise the appropriate limit experiment in which to study local (asymptotic) optimality of tests in the non-regular case and generalise classical power bounds to this case. I give conditions under which these power bounds are attained by the proposed C($α$) style tests. The application of the theory to a single index model and an instrumental variables model is worked out in detail. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_05999 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Locally Regular and Efficient Tests in Non-Regular Semiparametric Models Lee, Adam Econometrics Statistics Theory This paper considers hypothesis testing in semiparametric models which may be non-regular. I show that C($α$) style tests are locally regular under mild conditions, including in cases where locally regular estimators do not exist, such as models which are (semiparametrically) weakly identified. I characterise the appropriate limit experiment in which to study local (asymptotic) optimality of tests in the non-regular case and generalise classical power bounds to this case. I give conditions under which these power bounds are attained by the proposed C($α$) style tests. The application of the theory to a single index model and an instrumental variables model is worked out in detail. |
| title | Locally Regular and Efficient Tests in Non-Regular Semiparametric Models |
| topic | Econometrics Statistics Theory |
| url | https://arxiv.org/abs/2403.05999 |