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Allen, Jason

Size matters: Covariance matrix estimation under the alternative. (English) Zbl 1127.62120

Econom. J. 10, No. 3, 637-644 (2007).
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

Keywords:

power; generalized mehtod of moments; overidentifying restrictions

Citations:

Zbl 1015.62123; Zbl 0502.62098
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Full Text: DOI

References:

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