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Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test

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  1. repec:ebl:ecbull:v:3:y:2007:i:44:p:1-6 is not listed on IDEAS
  2. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
  3. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
  4. Hwang, Jungbin & Kang, Byunghoon & Lee, Seojeong, 2022. "A doubly corrected robust variance estimator for linear GMM," Journal of Econometrics, Elsevier, vol. 229(2), pages 276-298.
  5. Chen, Xiaohong & Liao, Zhipeng, 2015. "Sieve semiparametric two-step GMM under weak dependence," Journal of Econometrics, Elsevier, vol. 189(1), pages 163-186.
  6. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
  7. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society.
  8. 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.
  9. Hall, Alastair R. & Inoue, Atsushi, 2003. "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June.
  10. Hayakawa, Kazuhiko, 2019. "Alternative over-identifying restriction test in the GMM estimation of panel data models," Econometrics and Statistics, Elsevier, vol. 10(C), pages 71-95.
  11. Jungbin Hwang, 2017. "Simple and Trustworthy Cluster-Robust GMM Inference," Working papers 2017-19, University of Connecticut, Department of Economics, revised Aug 2020.
  12. 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.
  13. Onishi, Rikuto & Otsu, Taisuke, 2021. "Sample sensitivity for two-step and continuous updating GMM estimators," LSE Research Online Documents on Economics 107522, London School of Economics and Political Science, LSE Library.
  14. Shin‐Kun Peng & Takatoshi Tabuchi, 2007. "Spatial Competition in Variety and Number of Stores," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 16(1), pages 227-250, March.
  15. Lee, Wei-Ming & Kuan, Chung-Ming & Hsu, Yu-Chin, 2014. "Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix," Journal of Econometrics, Elsevier, vol. 181(2), pages 181-193.
  16. Hwang, Jungbin, 2021. "Simple and trustworthy cluster-robust GMM inference," Journal of Econometrics, Elsevier, vol. 222(2), pages 993-1023.
  17. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  18. Yamamoto, Yohei & Tanaka, Shinya, 2015. "Testing for factor loading structural change under common breaks," Journal of Econometrics, Elsevier, vol. 189(1), pages 187-206.
  19. Arthur Korteweg & Stefan Nagel, 2016. "Risk‐Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, vol. 71(3), pages 1437-1470, June.
  20. Xuexin Wang & Yixiao Sun, 2020. "An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 536-550, July.
  21. Chernov, Mikhail, 2003. "Empirical reverse engineering of the pricing kernel," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 329-364.
  22. Onishi, Rikuto & Otsu, Taisuke, 2021. "Sample sensitivity for two-step and continuous updating GMM estimators," Economics Letters, Elsevier, vol. 198(C).
  23. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
  24. Saraswata Chaudhuri & Eric Renault, 2015. "Shrinkage of Variance for Minimum Distance Based Tests," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 328-351, March.
  25. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
  26. Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2002. "Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 213-233, March.
  27. Sheng-Kai Chang, 2007. "The asymptotic global power comparisons of the GMM overidentifying restrictions tests," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-6.
  28. Prosper Dovonon, 2016. "Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 465-514, April.
  29. Antoine, Bertille & Bonnal, Helene & Renault, Eric, 2007. "On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood," Journal of Econometrics, Elsevier, vol. 138(2), pages 461-487, June.
  30. Bruce E. Hansen & Seojeong Jay Lee, 2018. "Inference for Iterated GMM Under Misspecification and Clustering," Discussion Papers 2018-07, School of Economics, The University of New South Wales.
  31. A. Felipe & N. Martín & P. Miranda & L. Pardo, 2018. "Testing with Exponentially Tilted Empirical Likelihood," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1319-1358, December.
  32. Sun, Yixiao & Kim, Min Seong, 2012. "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, vol. 166(2), pages 267-281.
  33. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.
  34. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.
  35. repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS
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