Search Results - subject:"Overidentifying restrictions"

The Empirical Saddlepoint Likelihood Estimator Applied to Two-Step GMM

Sowell, Fallaw - 2009

model's parameters can be estimated with both the ESPL and a conditional ESPL (CESPL), conditional on the overidentifying … restrictions being satisfied. This application leads to several new tests for over-identifying restrictions. Simulations …

Persistent link: https://www.econbiz.de/10009441141

The empirical saddlepoint likelihood estimator applied to two-step GMM

Sowell, Fallaw - Volkswirtschaftliche Fakultät, … - 2009

restrictions being satisfied. This application leads to several new tests for overidentifying restrictions. Simulations demonstrate … for overidentifying restrictions that have performance comparable to or better than currently available tests. The … model's parameters can be estimated with both the ESPL and a conditional ESPL (CESPL), conditional on the overidentifying …

Persistent link: https://www.econbiz.de/10005668393

A Specification Test for Instrumental Variables Regression with Many Instruments

Lee, Yoonseok; Okui, Ryo - Cowles Foundation for Research in Economics, Yale University - 2009

. The test proposed is a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test of overidentifying … restrictions. The test statistic asymptotically follows the standard normal distribution under the null hypothesis of correct …

Persistent link: https://www.econbiz.de/10008509394

GMM Estimation with Noncausal Instruments

Lanne, Markku; Saikkonen, Pentti - Volkswirtschaftliche Fakultät, … - 2009

-test of overidentifying restrictions that may be inconsistent and, as shown by simulations, its finite-sample power is, in …

Persistent link: https://www.econbiz.de/10008568629

Specification Testing in Models with Many Instruments

Anatolyev, Stanislav; Gospodinov, Nikolay - Center for Economic and Financial Research (CEFIR), New … - 2008

This paper studies the asymptotic validity of the Anderson-Rubin (AR) test and the J test of overidentifying … restrictions in linear models with many instruments. When the number of instruments increases at the same rate as the sample size …

Persistent link: https://www.econbiz.de/10005171026

Spurious Inference in Unidentified Asset-Pricing Models

Gospodinov, Nikolay; Robotti, Cesare; Kan, Raymond - Federal Reserve Bank of Atlanta - 2014

This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...

Persistent link: https://www.econbiz.de/10010942127

Confidence sets based on inverting Anderson–Rubin tests

Davidson, Russell; MacKinnon, James G. - In: The econometrics journal 17 (2014) 2, pp. 39-58

Persistent link: https://www.econbiz.de/10010498734

Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Department of Economics, Boston College - 2007

We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.

Persistent link: https://www.econbiz.de/10005027835

The asymptotic global power comparisons of the GMM overidentifying restrictions tests

Chang, Sheng-Kai - In: Economics Bulletin 3 (2007) 44, pp. 1-6

In this paper, the asymptotic power comparisons of two versions of GMM overidentifying restrictions tests are conducted … globally through the concept of approximate slopes. It is found that the GMM overidentifying restrictions test with the …

Persistent link: https://www.econbiz.de/10010629966

The asymptotic global power comparisons of the GMM overidentifying restrictions tests

Chang, Sheng-Kai - In: Economics Bulletin 3 (2007) 44, pp. 1-6

Persistent link: https://www.econbiz.de/10005110755