The asymptotic global power comparisons of the GMM overidentifying restrictions tests
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).
Volume (Year): 3 (2007)
Issue (Month): 44 ()
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Alastair R. Hall, 2000. "Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test," Econometrica, Econometric Society, vol. 68(6), pages 1517-1528, November.
- Sheng-Kai Chang, 2005. "The approximate slopes and the power of the GMM overidentifying restrictions test," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 845-848.
- Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-65, April.
- Geweke, John, 1981. "The Approximate Slopes of Econometric Tests," Econometrica, Econometric Society, vol. 49(6), pages 1427-42, November.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-07c10003. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.