|This centre is a member of The LSE Research Laboratory [RLAB]: CASE | CVER | CEP | SERC | STICERD||Cookies?|
Paper No' EM 593: | Full paper
Save Reference as: BibTeX File | EndNote Import File
Keywords: Nonparametric likelihood, Saddlepoint, Moment condition model
JEL Classification: C12; C14
Is hard copy/paper copy available? YES - Paper Copy Still In Print.
This Paper is published under the following series: Econometrics
Share this page: Google Bookmarks | Facebook | Twitter
Abstract:This paper develops a new test statistic for parameters defined by moment conditions that exhibits desirable relative error properties for the approximation of tail area probabilities. Our statistic, called the tilted exponential tilting (TET) statistic, is constructed by estimating certain cumulant generating function under exponential tilting weights. We show that the asymptotic p-value of the TET statistic can provide an accurate approximation to the p-value of an infeasible saddlepoint statistic, which is asymptotically chi-squared distributed with a relative error of order n−1 both in normal and large deviation regions. Numerical results illustrate the accuracy of the proposed TET statistic. Our results cover both just- and over-identified moment condition models.
Copyright © RLAB & LSE 2003 - 2018 | LSE, Houghton Street, London WC2A 2AE | Contact: RLAB | Site updated 18 March 2018