Testing distributional assumptions using a continuum of moments

A-Tier
Journal: Journal of Econometrics
Year: 2020
Volume: 218
Issue: 2
Pages: 655-689

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose specification tests for parametric distributions that compare the potentially complex theoretical and empirical characteristic functions using the continuum of moment conditions analogue to an overidentifying restrictions test, which takes into account the correlation between influence functions for different argument values. We derive its asymptotic distribution for fixed regularization parameter and when this vanishes with the sample size. We show its consistency against any deviation from the null, study its local power and compare it with existing tests. An extensive Monte Carlo exercise confirms that our proposed tests display good power in finite samples against a variety of alternatives.

Technical Details

RePEc Handle
repec:eee:econom:v:218:y:2020:i:2:p:655-689
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-24