Arbeitspapier
Tests for neglected heterogeneity in moment condition models
The central concern of the paper is with the formulation of tests of neglected parameter heterogeneity appropriate for model environments specified by a number of unconditional or conditional moment conditions. We initially consider the unconditional moment restrictions framework. Optimal m-tests against moment condition parameter heterogeneity are derived with the relevant Jacobian matrix obtained as the second order derivative of the moment indicator in a leading case. GMM and GEL tests of specification based on generalized information matrix equalities appropriate for moment-based models are described and their relation to the optimal m-tests against moment condition parameter heterogeneity examined. A fundamental and important difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the conditional moment context.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP26/11
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
- Thema
-
GMM
GEL
Unconditional Moments
Conditional Moments
Score and LM Tests
Information Matrix Equality
Momentenmethode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hahn, Jinyong
Newey, Whitney K.
Smith, Richard J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2011
- DOI
-
doi:10.1920/wp.cem.2011.2611
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hahn, Jinyong
- Newey, Whitney K.
- Smith, Richard J.
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2011
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