Generalized method of moments specification testing (Q1084826): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized method of moments specification testing |
scientific article |
Statements
Generalized method of moments specification testing (English)
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1985
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This article analyzes the asymptotic power properties of the class of specification tests which are based on a finite set of moment conditions. It is found that for such tests there are misspecification directions for which the power of the test does not go to one as the sample size grows. With restrictions on the form of misspecification, optimal moment tests are derived. It was shown that all moment tests with maximal degrees of freedom are asymptotically equivalent.
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specification equivalence
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Hausman tests
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asymptotic power
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specification tests
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moment conditions
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optimal moment tests
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maximal degrees of freedom
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