Invariant tests based on M-estimators, estimating functions, and the generalized method of moments
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2017. "Invariant tests based on M -estimators, estimating functions, and the generalized method of moments," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 182-204, March.
- Jean-Marie Dufour & Alain Trognon, 2000. "Invariant Tests Based on M-Estimators, Estimating Functions and the Generalized Method of Moments," Econometric Society World Congress 2000 Contributed Papers 1420, Econometric Society.
References listed on IDEAS
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-787, October.
- Dufour, Jean-Marie & Jasiak, Joann, 2001. "Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 815-843, August.
- Dagenais, Marcel G. & Dufour, Jean-Marie, 1992. "On the lack of invariance of some asymptotic tests to rescaling," Economics Letters, Elsevier, vol. 38(3), pages 251-257, March.
- James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2007.
"Normalization in Econometrics,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 221-252.
- James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," FRB Atlanta Working Paper 2004-13, Federal Reserve Bank of Atlanta.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Theory,"
Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
- Critchley, Frank & Marriott, Paul & Salmon, Mark, 1996. "On the Differential Geometry of the Wald Test with Nonlinear Restrictions," Econometrica, Econometric Society, vol. 64(5), pages 1213-1222, September.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- Crepon, Bruno & Duguet, Emmanuel, 1997.
"Research and development, competition and innovation pseudo-maximum likelihood and simulated maximum likelihood methods applied to count data models with heterogeneity,"
Journal of Econometrics, Elsevier, vol. 79(2), pages 355-378, August.
- Crepon, B. & Duguet, E., 1995. "Research and Development, Competition and Innovation; Pseudo Maximum Likelihood and Simulated Maximum Likelihood Methods Applied to Count Data Models with Heterogeneity," Papiers d'Economie Mathématique et Applications 95.08, Université Panthéon-Sorbonne (Paris 1).
- Gourieroux, C. & Monfort, A., 1989. "A General Framework for Testing a Null Hypothesis in a “Mixed” Form," Econometric Theory, Cambridge University Press, vol. 5(1), pages 63-82, April.
- Craig Burnside, 2016.
"Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 295-330.
- Craig Burnside, 2010. "Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns," NBER Working Papers 16634, National Bureau of Economic Research, Inc.
- Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201.
- Gourieroux,Christian & Monfort,Alain, 1995.
"Statistics and Econometric Models,"
Cambridge Books,
Cambridge University Press, number 9780521405515, September.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, September.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451.
- Richard J Smith, 1987. "Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(4), pages 665-680.
- Lafontaine, Francine & White, Kenneth J., 1986. "Obtaining any Wald statistic you want," Economics Letters, Elsevier, vol. 21(1), pages 35-40.
- Dagenais, Marcel G & Dufour, Jean-Marie, 1991.
"Invariance, Nonlinear Models, and Asymptotic Tests,"
Econometrica, Econometric Society, vol. 59(6), pages 1601-1615, November.
- Dagenais, M.G. & Dufour, J.M., 1987. "Invariance, Nonlinear Models and Asymptotic Tests," Cahiers de recherche 8738, Universite de Montreal, Departement de sciences economiques.
- Hansen, Bruce E, 1992. "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes," Econometrica, Econometric Society, vol. 60(4), pages 967-972, July.
- Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
- Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245, Elsevier.
- Marriott,Paul & Salmon,Mark (ed.), 2000. "Applications of Differential Geometry to Econometrics," Cambridge Books, Cambridge University Press, number 9780521651165, September.
- Phillips, Peter C B & Park, Joon Y, 1988.
"On the Formulation of Wald Tests of Nonlinear Restrictions,"
Econometrica, Econometric Society, vol. 56(5), pages 1065-1083, September.
- Peter C.B. Phillips & Joon Y. Park, 1986. "On the Formulation of Wald Tests of Nonlinear Restrictions," Cowles Foundation Discussion Papers 801, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
- Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
- Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models 2 volume set," Cambridge Books, Cambridge University Press, number 9780521478373, July.
- Gregory, Allan W & Veall, Michael R, 1985.
"Formulating Wald Tests of Nonlinear Restrictions,"
Econometrica, Econometric Society, vol. 53(6), pages 1465-1468, November.
- Allan W. Gregory & Michael R. Veall, 1984. "On Formulating Wald Tests of Nonlinear Restrictions," University of Western Ontario, Departmental Research Report Series 8401, University of Western Ontario, Department of Economics.
- Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
- Oliver Hines & Stijn Vansteelandt & Karla Diaz-Ordaz, 2021. "Robust Inference for Mediated Effects in Partially Linear Models," Psychometrika, Springer;The Psychometric Society, vol. 86(2), pages 595-618, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
- Naorayex K Dastoor, 2008. "A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis," Economics Bulletin, AccessEcon, vol. 3(62), pages 1-10.
- repec:ebl:ecbull:v:3:y:2008:i:62:p:1-10 is not listed on IDEAS
- Brown, Kenneth & Cribari-Neto, Francisco, 1992. "On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 12(2), November.
- Kemp, Gordon C. R., 2001.
"Invariance and the Wald test,"
Journal of Econometrics, Elsevier, vol. 104(2), pages 209-217, September.
- Kemp, GCR, 2000. "Invariance and the Wald Test," Economics Discussion Papers 2887, University of Essex, Department of Economics.
- Lung-fei Lee & Jihai Yu, 2012. "The C(α)-type gradient test for spatial dependence in spatial autoregressive models," Letters in Spatial and Resource Sciences, Springer, vol. 5(3), pages 119-135, October.
- Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, University Library of Munich, Germany, revised 05 Mar 1996.
- Becker, Ralf, 1998. "Die verallgemeinerte Momentenmethode: Darstellung und Anwendung," Arbeitspapiere des Instituts für Statistik und Ökonometrie 16, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
- Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
- DUFOUR, Jean-Marie, 2001.
"Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie,"
Cahiers de recherche
2001-15, Universite de Montreal, Departement de sciences economiques.
- Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO.
- Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020.
"Inference in second-order identified models,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.
- Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017. "Inference in Second-Order Identified Models," Economics Discussion Paper Series 1703, Economics, The University of Manchester.
- Paulo M. D. C. Parente & Richard J. Smith, 2021.
"Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models," Working Papers REM 2018/59, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Goh, Kim-Leng & King, Maxwell L., 1996. "Modified Wald tests for non-linear restrictions: A cautionary tale," Economics Letters, Elsevier, vol. 53(2), pages 133-138, November.
- Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006.
"Short run and long run causality in time series: inference,"
Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Denis Pelletier & Eric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO.
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society.
- Peñaranda, Francisco & Sentana, Enrique, 2012.
"Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017. "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper 79623, University Library of Munich, Germany.
- Jean-Marie Dufour, 2003.
"Identification, weak instruments, and statistical inference in econometrics,"
Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
- Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 2003-12, Universite de Montreal, Departement de sciences economiques.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Prosper Dovonon & Alastair Hall & Frank Kleibergen, 2018. "Inference in Second-Order Identified Models," CIRANO Working Papers 2018s-36, CIRANO.
- Smith, Richard J., 2005.
"Automatic Positive Semidefinite Hac Covariance Matrix And Gmm Estimation,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 158-170, February.
- Richard Smith, 2004. "Automatic positive semi-definite HAC covariance matrix and GMM estimation," CeMMAP working papers CWP17/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
More about this item
Keywords
Testing; invariance; hypothesis reformulation; reparameterization; measurement unit; estimating function; generalized method of moment (GMM); pseudo-likelihood; M-estimator; Linear exponential model; Nonlinear model; Wald test; Likelihood ratio test; score test; lagrange multiplier test; C(∝) test.;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-02-29 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cir:cirwor:2015s-27. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Webmaster (email available below). General contact details of provider: https://edirc.repec.org/data/ciranca.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.