Size matters: covariance matrix estimation under the alternative

Jason Allen

Econometrics Journal, 2007, vol. 10, issue 3, pages 637-644

Abstract: 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

Date: 2007

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Working Paper: Size Matters: Covariance Matrix Estimation Under the Alternative (2005)
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