文章基本信息

标题：Testing Distributional Assumptions Using a Continuum of Moments
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作者：Dante Amengual ; Marine Carrasco ; Enrique Sentana 等
期刊名称：CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
出版年度：2017
卷号：2017
出版社：Centro de Estudios Monetarios y Financieros, Madrid
摘要：We propose specification tests for parametric distributions that compare theoretical and empiricalcharacteristic functions. Our proposal is the continuum of moment conditions analogue to the usualoveridentifying restrictions test, which takes into account the correlation between influence functionsfor different argument values. We derive its asymptotic distribution for fixed regularization parameterand when this vanishes with the sample size. We show its consistency against any deviation from thenull, study its local power and compare it with existing tests. An extensive Monte Carlo exerciseconfirms that our proposed tests display good power in finite samples against a variety ofalternatives.
关键词：Consistent tests; characteristic function; GMM; continuum of moment conditions;goodness-of-fit; Tikhonov regularization.