Learning before testing: A selective nonparametric test for conditional moment restrictions

• Main Authors: LI, Jia, LIAO, Zhipeng, ZHOU, Wenyu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Conditional moments; Lasso; Machine learning; Series estimation; Uniform inference; Variable selection.; Econometrics
• 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
• Institution: Singapore Management University

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...