Learning before testing: A selective nonparametric test for conditional moment restrictions
This paper develops a new test for conditional moment restrictions via nonparametric series regression, with approximating series terms selected by Lasso. Machine-learning the main features of the unknown conditional expectation function beforehand enables the test to seek power in a targeted fashio...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2566 https://ink.library.smu.edu.sg/context/soe_research/article/3565/viewcontent/Learning_Before_Testing.pdf |
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| Institution: | Singapore Management University |
| Language: | English |