The asymptotic global power comparisons of the GMM overidentifying restrictions tests

Sheng-Kai Chang ()
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Sheng-Kai Chang: Wayne State University

Economics Bulletin, 2007, vol. 3, issue 44, 1-6

Abstract: In this paper, the asymptotic power comparisons of two versions of GMM overidentifying restrictions tests are conducted globally through the concept of approximate slopes. It is found that the GMM overidentifying restrictions test with the consistent mean deviation variance-covariance matrix estimator is more powerful than the test with the conventional non-mean deviation one. The results shed new light on the findings of Chang (2005) and Hall (2000).

Keywords: Approximate; Slopes; Overidentifying; Restrictions; Test. (search for similar items in EconPapers)
JEL-codes: C1 C5 (search for similar items in EconPapers)
Date: 2007-09-18
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