Goodness of Fit Tests for Moment Condition Models
Joaquim Ramalho () and
Richard J. Smith
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Richard J. Smith: Department of Economics, University of Warwick
Economics Working Papers from University of Évora, Department of Economics (Portugal)
Abstract:
This paper proposes novel methods for the construction of tests for models specified by unconditional moment restrictions. It exploits the classical-like nature of generalized empirical likelihood (GEL) to define Pearson-type statistics for over-identifying moment conditions and parametric constraints based on constrasts of GEL implied probabilities which are natural by-products of GEL estimation. As is increasingly recognized, GEL can possess both theoretical and empirical advantages over the more standard generalized method of moments (GMM). Monte Carlo evidence comparing GMM, GEL and Pearsontype statistics for over-identifying moment conditions indicates that the size properties of a particular Pearson-type statistic is competitive in most and an improvement over other statistics in many circumstances.
Keywords: GMM; Generalized Empirical Likelihood; Overidentifying Moments; Parametric Restrictions; Pearson-Type Tests (search for similar items in EconPapers)
JEL-codes: C13 C30 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2005
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (7)
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Persistent link: https://EconPapers.repec.org/RePEc:evo:wpecon:5_2005
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