Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
DOI10.1111/1468-0262.00171zbMATH Open1015.62123OpenAlexW2161108673MaRDI QIDQ4530995FDOQ4530995
Authors: Alastair Hall 
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
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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)
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- 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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