Testing Distributional Assumptions Using a Continuum of Moments

Dante Amengual ^[2] ; Marine Carrasco ^[1] ; Enrique Sentana ^[2]
1. [1] University of Montreal
  
  University of Montreal
  
  Canadá
2. [2] CEMFI
Localización: Documentos de Trabajo ( CEMFI ), Nº. 9 (CEMFI Working Paper No. 1709 March 2017), 2017
Idioma: inglés
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Resumen
- We propose specification tests for parametric distributions that compare theoretical and empirical characteristic functions. Our proposal is the continuum of moment conditions analogue to the usual overidentifying restrictions test, which takes into account the correlation between influence functions for different argument values. We derive its asymptotic distribution for fixed regularization parameter and when this vanishes with the sample size. We show its consistency against any deviation from the null, study its local power and compare it with existing tests. An extensive Monte Carlo exercise confirms that our proposed tests display good power in finite samples against a variety of alternatives.