Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
DOI10.1111/1468-0262.00171zbMATH Open1015.62123OpenAlexW2161108673MaRDI QIDQ4530995FDOQ4530995
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1468-0262.00171
model misspecificationoveridentifying restrictions testheteroscedasticity and autocorrelation consistent covariance matrix estimators
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)
Cited In (31)
- Size matters: covariance matrix estimation under the alternative
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Empirical reverse engineering of the pricing kernel.
- Score tests in GMM: why use implied probabilities?
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- Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence
- Sample sensitivity for two-step and continuous updating GMM estimators
- TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Optimal Predictive Tests
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
- Simple and powerful GMM over-identification tests with accurate size
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Detection of structural breaks in linear dynamic panel data models
- Testing with exponentially tilted empirical likelihood
- Over-identified doubly robust identification and estimation
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
- Correcting the bias of the sample cross‐covariance estimator
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- GMM estimation of a realized stochastic volatility model: A Monte Carlo study
- Shrinkage of Variance for Minimum Distance Based Tests
- A doubly corrected robust variance estimator for linear GMM
- Sieve semiparametric two-step GMM under weak dependence
- Testing for factor loading structural change under common breaks
- COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY
- Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
- Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
- Panel data models with multiple time-varying individual effects
- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- Powerful tests for structural changes in volatility
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