Size Matters: Covariance Matrix Estimation Under the Alternative
Copyright policy )Size Matters: Covariance Matrix Estimation Under the Alternative
Summary: The purpose of this paper is to investigate, using Monte Carlo methods, whether \textit{A. R. Hall}'s [Econometrica 68, No. 6, 1517--1527 (2000; Zbl 1015.62123)] centred test of overidentifying restrictions for parameters estimated by the generalized method of moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by \textit{L. P. Hansen} [ibid. 50, 1029--1054 (1982; Zbl 0502.62098)]. The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentred calculation.
- Queen's University Canada
- Government of Canada Canada
- Queen's University (Ontario, Canada) Canada
- Bank of Canada Canada
Size, Power, GMM, Overidentifying restrictions, ddc:330, Estimation in multivariate analysis, Point estimation, Monte Carlo methods, generalized mehtod of moments, power, C52, Size, Power, overidentifying restrictions, C15, GMM, G12, Overidentifying restrictions, Applications of statistics to economics, jel: jel:C52, jel: jel:G12, jel: jel:C15
Size, Power, GMM, Overidentifying restrictions, ddc:330, Estimation in multivariate analysis, Point estimation, Monte Carlo methods, generalized mehtod of moments, power, C52, Size, Power, overidentifying restrictions, C15, GMM, G12, Overidentifying restrictions, Applications of statistics to economics, jel: jel:C52, jel: jel:G12, jel: jel:C15
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