Arbeitspapier
Size Matters: Covariance Matrix Estimation Under the Alternative
The purpose of this paper is to investigate, using Monte Carlo methods, whether or not Hall's (2000) centered test of overidentifying restrictions for parameters estimated by Generalized Method of Moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentered calculation. Empirical examples using Epstein and Zin (1991) preferences demonstrate that the centered and uncentered tests sometimes lead to different conclusions about model specification.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 1091
- Classification
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Wirtschaft
Statistical Simulation Methods: General
Model Evaluation, Validation, and Selection
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
Size
Power
GMM
Overidentifying restrictions
- Event
-
Geistige Schöpfung
- (who)
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Allen, Jason
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Allen, Jason
- Queen's University, Department of Economics
Time of origin
- 2005
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