Hypothesis Testing with Two-Step GMM Estimators

Simon Gilchrist and Charles P. Himmelberg

Working Papers from New York University, Leonard N. Stern School of Business, Department of Economics

Abstract: Two-step generalized method of moment (2SGMM) estimation procedures are often applied to models that impose nonlinear cross-equation restrictions. Though less efficient than joint estimation, 2SGMM is often desirable due to its computational ease. This paper extends the hypothesis tests in Newey and West (1987) by deriving Wald, Lagrange Multiplier and Minimum Chi-Square tests for 2SGMM estimators.

Date: 1995-01
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Persistent link: https://EconPapers.repec.org/RePEc:ste:nystbu:95-02

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