Specification testing with estimated variables
提出针对经济模型中条件变量被估计时的设定检验方法，适用于变量不可观测或变量集过大需压缩的情况，并推广了Ramsey的RESET检验。
This article proposes specification tests for economic models defined through conditional moments restrictions in which conditioning variables are estimated. There are two main motivations for this situation. First, the case when the conditioning variables are not directly observable, such as economic models, where innovations or latent variables appear as explanatory variables. Second, the case when the set of conditioning variables is too large to derive powerful tests, and hence, the original conditioning set is replaced by a constructed variable that is regarded as a good summary of it. We establish the asymptotic properties of the proposed tests, examine its finite sample behavior, and apply them to different econometric contexts. In some cases, the proposed approach leads to relevant tests that generalize well known specification tests, such as Ramsey’s RESET test.