Generalized method of moments specification testing

DOI10.1016/0304-4076(85)90154-XzbMath0606.62132OpenAlexW2020270925WikidataQ64116490 ScholiaQ64116490MaRDI QIDQ1084826

Whitney K. Newey

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90154-x

zbMATH Keywords

specification testsasymptotic powermoment conditionsHausman testsmaximal degrees of freedomoptimal moment testsspecification equivalence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Consistent model specification tests
• Misspecified models with dependent observations
• Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation
• Two-step two-stage least squares estimation in models with rational expectations
• The nonlinear two-stage least-squares estimator
• A jackknife interpretation of the continuous updating estimator
• The Estimation of Economic Relationships using Instrumental Variables
• Nonlinear Regression with Dependent Observations
• Instrumental Variables Regression with Independent Observations
• A Remark on Hausman's Specification Test
• Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions
• On unification of the asymptotic theory of nonlinear econometric models
• Indeterminacy of the Chow Test when the Number of Observations Is Insufficient
• Specification Tests in Econometrics
• A Limited Information Specification Test
• Regression Analysis when the Dependent Variable Is Truncated Normal
• Linear Statistical Inference and its Applications
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

Related Items (only showing first 100 items - show all)

Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences ⋮ Estimation of long-run inefficiency levels: a dynamic frontier approach ⋮ Discriminating between errors-in-variables/simultaneity and misspecification in linear regression models ⋮ A general approach to conditional moment specification testing with projections ⋮ Asymptotic robustness of tests of overidentification and predeterminedness ⋮ Linear instrumental variables model averaging estimation ⋮ Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models ⋮ Examining bias in estimators of linear rational expectations models under misspecification ⋮ Generalized empirical likelihood testing in semiparametric conditional moment restrictions models ⋮ NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS ⋮ A joint serial correlation test for linear panel data models ⋮ Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ Regression-based specification tests for the multinomial logit model ⋮ On the effect of weighting matrix in GMM specification test ⋮ Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions ⋮ Basic structure of the asymptotic theory in dynamic nonlinear econometric models ⋮ Specification tests for distributional assumptions in the Tobit model ⋮ Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation ⋮ The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment ⋮ Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality ⋮ Unfolded GARCH models ⋮ Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation ⋮ Tests of additional conditional moment restrictions ⋮ Specification testing in panel data with instrumental variables ⋮ Misspecification tests and their uses in econometrics ⋮ Simulated Method of Moments Estimation for Copula-Based Multivariate Models ⋮ Discriminating between (in)valid external instruments and (in)valid exclusion restrictions ⋮ Pricing VIX derivatives with free stochastic volatility model ⋮ Empirical method of moments and its applications ⋮ Minimizing sensitivity to model misspecification ⋮ A separability result for gmm estimation, with applications to gls prediction and conditional moment tests ⋮ Profile GMM estimation of panel data models with interactive fixed effects ⋮ Estimating covariances of parameter estimates from different models ⋮ A cautionary note on tests of overidentifying restrictions ⋮ A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters ⋮ Tests for serial correlation and overdispersion in a count data regression model^∗ ⋮ Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information ⋮ A long memory model with normal mixture GARCH ⋮ Choice as an alternative to control in observational studies. (With comments and a rejoinder). ⋮ Asymptotic variance of test statistics in the ML and QML frameworks ⋮ Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure ⋮ Inference in dynamic discrete choice problems under local misspecification ⋮ AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION ⋮ Testing the impossible: identifying exclusion restrictions ⋮ Inference in second-order identified models ⋮ Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory ⋮ Inference of local regression in the presence of nuisance parameters ⋮ Specification test on mixed logit models ⋮ A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS ⋮ Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements ⋮ Frequency domain generalized empirical likelihood method ⋮ A note on testing the regression functions via nonparametric smoothing ⋮ Some aspects of measurement error in a censored regression model ⋮ EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS ⋮ GEL statistics under weak identification ⋮ Tests of overidentification and predeterminedness in simultaneous equation models ⋮ Chi-squared tests for evaluation and comparison of asset pricing models ⋮ Testing for weak identification in possibly nonlinear models ⋮ Testing single-index restrictions with a focus on average derivatives ⋮ Robust inference with GMM estimators ⋮ GMM estimation of linear panel data models with time-varying individual effects ⋮ A consistent test of functional form via nonparametric estimation techniques ⋮ Efficient estimation of models for dynamic panel data ⋮ Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics ⋮ Editorial: Misspecification test methods in econometrics ⋮ Neglected heterogeneity in moment condition models ⋮ On the arbitrariness of some asymptotic test statistics based on generalized inverses ⋮ Multilevel modeling with correlated effects ⋮ The validity of instruments revisited ⋮ Hahn-Hausman test as a specification test ⋮ Tests of specification for parametric and semiparametric models ⋮ The Semiparametric Case-Only Estimator ⋮ Law enforcement, the price of cocaine and cocaine use ⋮ GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION ⋮ Adaptive estimation of regression models via moment restrictions ⋮ The large sample behaviour of the generalized method of moments estimator in misspecified models ⋮ A unified approach to estimation and orthogonality tests in linear single-equation econometric models ⋮ Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models ⋮ Grouped-data estimation and testing in simple labor-supply models ⋮ Panel data regression for counts ⋮ Methods to estimate dynamic stochastic general equilibrium models ⋮ Investor preferences and portfolio selection: is diversification an appropriate strategy? ⋮ GENERALIZED INTEGER-VALUED AUTOREGRESSION ⋮ Regenerative block empirical likelihood for Markov chains ⋮ GEL CRITERIA FOR MOMENT CONDITION MODELS ⋮ A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS ⋮ Conditional higher order moments in metal asset returns ⋮ Improved generalized method of moments estimators for weakly dependent observations ⋮ A comparison of LS/ML and GMM estimation in a simple AR(1) model ⋮ Testing overidentifying restrictions with a restricted parameter space ⋮ Testing Additive Separability of Error Term in Nonparametric Structural Models ⋮ Invariant tests based onM-estimators, estimating functions, and the generalized method of moments ⋮ Are consumption-based intertemporal capital asset pricing models structural? ⋮ Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification ⋮ GMM tests for the Katz family of distributions ⋮ Testing normality: a GMM approach ⋮ Econometrics of first-price auctions with entry and binding reservation prices ⋮ Testing underidentification in linear models, with applications to dynamic panel and asset pricing models

This page was built for publication: Generalized method of moments specification testing