Search Results - subject:"Overidentifying restrictions"

Enhanced routines for instrumental variables/generalized method of moments estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - In: Stata Journal 7 (2007) 4, pp. 465-506

We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class...

Persistent link: https://www.econbiz.de/10005568801

The Empirical Saddlepoint Approximation for GMM Estimators

Sowell, Fallaw - Volkswirtschaftliche Fakultät, … - 2006

estimates and the statistics that test the overidentifying restrictions. The empirical saddlepoint distribution permits …

Persistent link: https://www.econbiz.de/10005622177

Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix

Lee, Wei-Ming; Kuan, Chung-Ming - Institute of Economics, Academia Sinica - 2006

We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000, Econometrica) and Kiefer and Vogelsang (2002b, Econometric Theory) to construct a class of robust tests for over-identifying restrictions in the context of GMM. The proposed test does not require consistent estimation of the...

Persistent link: https://www.econbiz.de/10008632873

Size Matters: Covariance Matrix Estimation Under the Alternative

Allen, Jason - 2005

overidentifying restrictions for parameters estimated by Generalized Method of Moments (GMM) is more powerful, once the test is size …

Persistent link: https://www.econbiz.de/10011940705

Size Matters: Covariance Matrix Estimation Under the Alternative

Allen, Jason - Economics Department, Queen's University - 2005

overidentifying restrictions for parameters estimated by Generalized Method of Moments (GMM) is more powerful, once the test is size …

Persistent link: https://www.econbiz.de/10005688363

A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters

Guggenberger, Patrik - In: Economics Letters 117 (2012) 3, pp. 901-904

overidentifying restrictions (OR) is inconsistent. When there is the notion of a “true parameter”, we relate this inconsistency result …

Persistent link: https://www.econbiz.de/10011041636

Specification tests and tests for overidentifying restrictions in panel data models with selection

Semykina, Anastasia - In: Economics Letters 115 (2012) 1, pp. 53-55

specification test and the Sargan–Hansen test for overidentifying restrictions can be generalized to panel data models with …

Persistent link: https://www.econbiz.de/10010576459

Hahn–Hausman test as a specification test

Lee, Yoonseok; Okui, Ryo - In: Journal of Econometrics 167 (2012) 1, pp. 133-139

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393–415] restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman [Hahn, J., Hausman,...

Persistent link: https://www.econbiz.de/10010577514

Instrumental variables and GMM: Estimation and testing

Baum, Christopher F; Schaffer, Mark E.; Stillman, Steven - In: Stata Journal 3 (2003) 1, pp. 1-31

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...

Persistent link: https://www.econbiz.de/10005568889

Instrumental variables and GMM: Estimation and testing

Baum, Christopher; Schaffer, Mark E.; Stillman, Steven - Department of Economics, Boston College - 2002

Persistent link: https://www.econbiz.de/10005074035