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The approximate slopes and the power of the GMM overidentifying restrictions test

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  • Sheng-Kai Chang

Abstract

The concept of approximate slopes is employed to study the power properties of the Generalized Method of Moments (GMM) overidentifying restrictions test. Two versions of the overidentifying restrictions test are compared globally by means of the approximate slopes approach. With no autocorrelation in the moment functions, it is found that the GMM overidentifying test with the mean deviation covariance matrix is more powerful than the test using the conventional non-mean deviation one.

Suggested Citation

  • 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.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:13:p:845-848
    DOI: 10.1080/13504850500282324
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Geweke, John, 1981. "The Approximate Slopes of Econometric Tests," Econometrica, Econometric Society, vol. 49(6), pages 1427-1442, November.
    3. 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.
    4. Byung-Joo Lee & Mary Lee, 1997. "Generalized method of moment estimation of truncated or censored regression," Applied Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 365-368.
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    1. repec:ebl:ecbull:v:3:y:2007:i:44:p:1-6 is not listed on IDEAS
    2. Sheng-Kai Chang, 2007. "The asymptotic global power comparisons of the GMM overidentifying restrictions tests," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-6.

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