Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory

Eric Ghysels () and Alastair Hall

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: In This Paper Several Additional Gmm Specification Tests Are Studied. a First Test Is a Chow-Type Test for Structural Parameter Stability of Gmm Estimates. the Test Is Inspired by the Fact That "Taste and Technology" Parameters Are Uncovered. the Second Set of Specification Tests Are Var Encompassing Tests. It Is Assumed That the Dgp Has a Finite Var Representation. the Moment Restrictions Which Are Suggested by Economic Theory and Exploited in the Gmm Procedure Represent One Possible Characterization of the Dgp. the Var Is a Different But Compatible Characterization of the Same Dgp. the Idea of the Var Encompassing Tests Is to Compare Parameter Estimates of the Euler Conditions and Var Representations of the Dgp Obtained Separately with Parameter Estimates of the Euler Conditions and Var Representations Obtained Jointly. There Are Several Ways to Construct Joint Systems Which Are Discussed in the Paper. Several Applications Are Also Discussed.

Keywords: Econometrics; Tests; Regression Analysis; Economic Theory; Technology (search for similar items in EconPapers)
Pages: 29P pages
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:8724

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