Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability

DOI10.1017/S0266466603196041MaRDI QIDQ4562545zbMATHOpenAlexFDO

Authors Alastair Hall, Atsushi Inoue, Fernanda P. M. Peixe

Publication date 21 December 2018

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466603196041

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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• Testing overidentifying restrictions with inefficient estimators

Cites work

• scientific article; zbMATH DE number 3988509 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference in Nonlinear Econometric Models with Structural Change
• Large Sample Properties of Generalized Method of Moments Estimators
• Matrix Analysis
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Order estimation in ARMA-models by Lagrangian multiplier tests
• Predictive tests for structural change with unknown breakpoint
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The large sample behaviour of the generalized method of moments estimator in misspecified models

Cited in

(4)

• Size matters: covariance matrix estimation under the alternative
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

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