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The asymptotic global power comparisons of the GMM overidentifying restrictions tests

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  • Sheng-Kai Chang

    (Wayne State University)

Abstract

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 consistent mean deviation variance-covariance matrix estimator is more powerful than the test with the conventional non-mean deviation one. The results shed new light on the findings of Chang (2005) and Hall (2000).

Suggested Citation

  • Sheng-Kai Chang, 2007. "The asymptotic global power comparisons of the GMM overidentifying restrictions tests," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-6.
    • Handle: RePEc:ebl:ecbull:eb-07c10003
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-265, April.
    3. Alastair R. Hall, 2000. "Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test," Econometrica, Econometric Society, vol. 68(6), pages 1517-1528, November.
    4. Geweke, John, 1981. "The Approximate Slopes of Econometric Tests," Econometrica, Econometric Society, vol. 49(6), pages 1427-1442, November.
    5. Sheng-Kai Chang, 2005. "The approximate slopes and the power of the GMM overidentifying restrictions test," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 845-848.
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    More about this item

    Keywords

    Approximate Slopes Overidentifying Restrictions Test.;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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