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
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
- 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.