In this paper, the asymptotic power comparisons of two versions of GMM overidentifying restrictions tests are conducted globally through the concept of approximate slopes. It is found that the GMM overidentifying restrictions test with the consistent mean deviation variance-covariance matrix estimator is more powerful than the test with the conventional non-mean deviation one. The results shed new light on the findings of Chang (2005) and Hall (2000).
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Article provided by Economics Bulletin in its journal Economics Bulletin.
Volume (Year): 3 (2007) Issue (Month): 44 () Pages: 1-6 Download reference. The following formats are available: HTML,
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Handle: RePEc:ebl:ecbull:v:3:y:2007:i:44:p:1-6
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