IDEAS home Printed from https://ideas.repec.org/p/crd/wpaper/10003.html
   My bibliography  Save this paper

Bartlett-type Correction of Distance Metric Test

Author

Abstract

We derive a corrected distance metric (DM) test of general restrictions. The correction factor depends on the value of the uncorrected statistic and the new statistic is Bartlett-type. In the setting of covariance structure models, we show using simulations that the quality of the new approximation is good and often remarkably good. Especially at around the 95th percentile, the distribution of the corrected test statistic is strikingly close to the relevant asymptotic distribution. This is true for various sample sizes, distributions, and degrees of freedom of the model. As a by-product we provide an intuition for the well-known observation in labor economic applications that using longer panels results in a reversal of the original inference.

Suggested Citation

  • Wanling Huang & Artem Prokhorov, 2010. "Bartlett-type Correction of Distance Metric Test," Working Papers 10003, Concordia University, Department of Economics.
    • Handle: RePEc:crd:wpaper:10003
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hayakawa, Kazuhiko, 2019. "Alternative over-identifying restriction test in the GMM estimation of panel data models," Econometrics and Statistics, Elsevier, vol. 10(C), pages 71-95.

    More about this item

    Keywords

    Distance Metric; GMM; Asymptotic expansion; Bartlett-type correction;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:crd:wpaper:10003. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Economics Department (email available below). General contact details of provider: https://edirc.repec.org/data/deconca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.