Arbeitspapier
Finite sample inference for GMM estimators in linear panel data models
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these Wald tests; a version of the two-step Wald test that uses a more accurate asymptotic approximation to the distribution of the estimator; the LM test; and three criterion-bases tests that have recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The corrected two-step Wald test performs similarly to the standard one-step Wald test, whilst the bootstrapped one-step Wald test, the LM test, and a simple criterion-difference test can provide more reliable finite sample inference in some cases.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP04/02
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
Generalised Method of Moments (GMM) , Hypothesis Testing , Finite Sample Inference
Panel
Theorie
Momentenmethode
Inferenzstatistik
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bond, Stephen R.
Windmeijer, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2002
- DOI
-
doi:10.1920/wp.cem.2002.0402
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bond, Stephen R.
- Windmeijer, Frank
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2002
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