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Goodness of Fit Tests for Moment Condition Models

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Author Info
Joaquim J.S. Ramalho () (Department of Economics, University of Évora)
Richard J. Smith (Department of Economics, University of Warwick)

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Abstract

This paper proposes novel methods for the construction of tests for models specified by unconditional moment restrictions. It exploits the classical-like nature of generalized empirical likelihood (GEL) to define Pearson-type statistics for over-identifying moment conditions and parametric constraints based on constrasts of GEL implied probabilities which are natural by-products of GEL estimation. As is increasingly recognized, GEL can possess both theoretical and empirical advantages over the more standard generalized method of moments (GMM). Monte Carlo evidence comparing GMM, GEL and Pearsontype statistics for over-identifying moment conditions indicates that the size properties of a particular Pearson-type statistic is competitive in most and an improvement over other statistics in many circumstances.

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File URL: http://www.decon.uevora.pt/working_papers.php?id=132
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Publisher Info
Paper provided by University of Évora, Department of Economics (Portugal) in its series Economics Working Papers with number 5_2005.

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Length: 41 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:evo:wpecon:5_2005

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Related research
Keywords: GMM Generalized Empirical Likelihood Overidentifying Moments Parametric Restrictions Pearson-Type Tests

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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This page was last updated on 2008-8-11.


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