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Bilinear form test statistics for extremum estimation
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BF-EE_supp.pdf
README.md

README.md

Supplementary material to Bilinear form test statistics for extremum estimation by Federico Crudu and Felipe Osorio (Economics Letters 187, 108885. doi: https://doi.org/10.1016/j.econlet.2019.108885)

Code written by: Federico Crudu, with contributions of Felipe Osorio

Correspondence author:

Code tested on:

  • R version 3.6.0, running Linux Ubuntu 18.04 (64 bits server)
  • R under development (2018-02-21 r74285), running Linux Mint 18.3 (64 bits)
  • R version 3.3.0, running OS X 10.13.4 (64 bits)

Attached base packages: stats, graphics, grDevices, utils, datasets, methods, Autoloads, base

Other attached packages: alabama_2015.3-1, gmm_1.6-2, numDeriv_2016.8-1.1, sandwich_2.5-1

CONTENTS:

  • code/BF.simul.R: R function to compute the empirical sizes using Wald, bilinear form, Lagrange multiplier and distance test statistics.
  • code/simulation.R: R commands to perform the simulation study described at Section 3 from manuscript.
  • BF-EE_supp.pdf: Supplementary material with additional simulation results.
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