Size matters: Covariance matrix estimation under the alternative. (English) Zbl 1127.62120
Summary: The purpose of this paper is to investigate, using Monte Carlo methods, whether A. R. Hall’s [Econometrica 68, No. 6, 1517–1527 (2000; Zbl 1015.62123)] centred test of overidentifying restrictions for parameters estimated by the generalized method of moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by L. P. Hansen [ibid. 50, 1029–1054 (1982; Zbl 0502.62098)]. The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentred calculation.
MSC:
62P20 | Applications of statistics to economics |
65C05 | Monte Carlo methods |
62H12 | Estimation in multivariate analysis |
62F10 | Point estimation |
References:
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