Working paper N. 804 Giugno 2019
Federico Crudu
DEPS, USiena
Felipe Osorio
Departamento de Matematica, Universidad Técnica Federico Santa Maria, Chile
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 finite samples.
Keywords
Extremum estimation, Gradient statistic, Bilinear form test, Nonlinear hypothesis.
Jel Codes
C12, C14, C69.
