Bilinear form test statistics for extremum estimation
arXiv:1912.01410 · doi:10.1016/j.econlet.2019.108885
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.
6 pages, 12 figures