Size matters: covariance matrix estimation under the alternative
Jason Allen ()
Econometrics Journal, 2007, vol. 10, issue 3, pages 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
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Working Paper: Size Matters: Covariance Matrix Estimation Under the Alternative (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:3:p:637-644
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