Size Matters : Covariance Matrix Estimation Under The Alternative  

Oleh:

Allen, Jason

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 3 (2007), page 637-644.
Topik: estimation; size; power; generalized method of moments; over identifying restrictions
Fulltext: 637.pdf (255.94KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The purpose of this paper is to investigate, using Monte Carlo methods, whether Hall's (2000) centred test of overidentifying restrictions for parameters estimated by generalized method of moments (GMM) is more powerful, once the test is size - adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size - adjusted power is gained over the standard uncentred calculation.

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