Size matters: covariance matrix estimation under the alternative
Jason Allen ()
Econometrics Journal, 2007, vol. 10, issue 3, 637-644
The purpose of this paper is to investigate, using Monte Carlo methods, whether Hall's (2000) centred test of overidentifying restrictions for parameters estimated by generalized method of moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentred calculation. Copyright Royal Economic Society 2007
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00225.x link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: Size Matters: Covariance Matrix Estimation Under the Alternative (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:3:p:637-644
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().