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Size matters: covariance matrix estimation under the alternative

Jason Allen
The Econometrics Journal
Vol. 10, No. 3 (2007), pp. 637-644
Published by: Wiley on behalf of the Royal Economic Society
Stable URL: http://www.jstor.org/stable/23126794
Page Count: 8
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Size matters: covariance matrix estimation under the alternative
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Abstract

The purpose of this paper is to investigate, using Monte Carlo methods, whether Hall's (2000) centred test of overidentifying restrictions for parameters estimated by generalized method of moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentred calculation.

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