The tests for the level moment conditions: GMM estimation in a linear dynamic panel data model

This paper compares the power of alternative tests for the level moment conditions in GMM estimation of a linear dynamic panel data model. The test statistic calculated conventionally can take on a negative value in finite samples even though it cannot be asymptotically. A straightforward modification makes the test statistic nonnegative. Monte Carlo simulations show that the test can gain power from the modification.

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Year of publication:	2012
Authors:	Hasebe, Takuya
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 1, p. 412-420
Publisher:	AccessEcon
Subject:	GMM \| Dynamic panel data \| Overidentifying restrictions test

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Extent:	application/pdf
Type of publication:	Article
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278836