EconPapers    
Economics at your fingertips  
 

Finite sample properties of the GMM Anderson–Rubin test

Maurice J. G. Bun, Helmut Farbmacher () and Rutger W. Poldermans

Econometric Reviews, 2020, vol. 39, issue 10, 1042-1056

Abstract: In the construction of the GMM version of the Anderson and Rubin (AR) test statistic there is the choice to use either uncentered or centered moment conditions to form the weighting matrix. We show that, when the number of moment conditions is moderately large, the centered GMM-AR test is oversized. At the same time, the uncentered version becomes conservative at conventional significance levels. Using an asymptotic expansion, we point to a missing degrees-of-freedom correction in the centered version of the GMM-AR test, which implicitly incorporates an Edgeworth correction. Monte Carlo experiments corroborate our theoretical findings and illustrate the accuracy of the degrees-of-freedom corrected, centered GMM-AR statistic in finite samples.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2020.1761149 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:39:y:2020:i:10:p:1042-1056

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2020.1761149

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

 
Page updated 2022-05-12
Handle: RePEc:taf:emetrv:v:39:y:2020:i:10:p:1042-1056