A Simple Test foir Conditional Restrictions with Incomplete Information

This article proposes specification tests for economic models defined through conditional moment restrictions for the case where the conditioning variables may be unobservable, a situation that is very common in economics. We... [ view full abstract ]

This article proposes specification tests for economic models defined through conditional moment restrictions for the case where the conditioning variables may be unobservable, a situation that is very common in economics. We apply the test in different econometric contexts,establish its asymptotic properties and examine its finite sample performance with simulations.