Robust Tests of Model Incompleteness in the Presence of Nuisance Parameters
SeriesErasmus Econometric Institute Series
Speaker(s)Hiroaki Kaido (Boston University, United States)
LocationErasmus University Rotterdam, E building, room ET-18
Date and time
October 12, 2023
12:00 - 13:00
We develop a novel test of model incompleteness and analyze its asymptotic properties. A key observation is that one can define a least-favorable parametric model along which detecting local alternatives without knowing the selection mechanism is the hardest. The test builds on a score function constructed from such a model. The proposed procedure remains computationally tractable even in the presence of nuisance parameters because it suffices to estimate them only under the null hypothesis of model completeness.
We illustrate the test by applying it to a market entry model and a triangular model with a set-valued control function. Joint paper with Shuowen Chen.
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