Optimizing Robust Conditional Moment Tests: An Estimating Function Approach

摘要: Robust conditional moment (RCM) tests for partial specifications are derived without a full specification assumption. Yet, researchers usually claim the optimality of these RCM by reinterpreting them as score under certain specifications. This argument is in fact incompatible with rationale tests. In this study, we consider generalized test based on estimating function (EF) approach and explore semi-parametric criterion that does not require Specifically, derive upper bound noncentrality parameter propose method to optimize so achieve bound. The optimized associated optimal EF method, it useful improving asymptotic local power existing proposed thus permits pursue sacrificing robustness testing We illustrate our using various demonstrate improved property simulations.