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arXiv · 1912.01410

Bilinear form test statistics for extremum estimation

Federico Crudu·Felipe Osorio
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Abstract

This paper develops a set of test statistics based on bilinear forms in the context of the extremum estimation framework with particular interest in nonlinear hypothesis. 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.

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Federico Crudu, Felipe Osorio. 2019-12-03. Bilinear form test statistics for extremum estimation. https://doi.org/10.1016/j.econlet.2019.108885

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