Hypothesis Testing with Two-Step GMM Estimators
Two-step generalized method of moment (2SGMM) estimation procedures are often applied to models that impose nonlinear cross-equation restrictions. Though less efficient than joint estimation, 2SGMM is often desirable due to its computational ease. This paper extends the hypothesis tests in Newey and West (1987) by deriving Wald, Lagrange Multiplier and Minimum Chi-Square tests for 2SGMM estimators.
Year of publication: |
1995-01
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Authors: | Gilchrist, Simon ; Himmelberg, Charles P. |
Institutions: | Economics Department, Stern School of Business |
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