IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v16y2009i5p489-494.html
   My bibliography  Save this article

A test statistic equation for obtaining alternative Wald and score statistics in the generalized method of moments framework

Author

Listed:
  • Joaquim Ramalho

Abstract

In this article we derive a test statistic generating equation (TSGE) from which several statistics suitable for testing parametric restrictions in models estimated by the generalized method of moments (GMM) may be obtained. This statistic presents three main features: it is valid for producing statistics appropriate for testing constraints expressed in very general forms, which may involve not only the parameters of interest but also a vector of nuisance parameters; some of the tests proposed in the GMM literature are special cases of the TSGE; it can be evaluated at any consistent and asymptotically normal estimator.

Suggested Citation

  • Joaquim Ramalho, 2009. "A test statistic equation for obtaining alternative Wald and score statistics in the generalized method of moments framework," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 489-494.
  • Handle: RePEc:taf:apeclt:v:16:y:2009:i:5:p:489-494
    DOI: 10.1080/13504850601018676
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850601018676&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:16:y:2009:i:5:p:489-494. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.