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Size matters: covariance matrix estimation under the alternative
The Econometrics Journal
Vol. 10, No. 3 (2007), pp. 637-644
Stable URL: http://www.jstor.org/stable/23126794
Page Count: 8
You can always find the topics here!Topics: Covariance, Estimators, Statistical estimation, Economic modeling, Method of moments, Theoretical econometrics, Consistent estimators, Econometrics, Term weighting, Economic theory
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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.
The Econometrics Journal © 2007 Royal Economic Society