Simple and powerful GMM over-identification tests with accurate size

DOI10.1016/J.JECONOM.2011.09.039zbMATH Open1441.62881OpenAlexW2112262946MaRDI QIDQ738121FDOQ738121

Authors: Yixiao Sun, Min Seong Kim 

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.039

Recommendations

• Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• Bootstrapping the GMM overidentification test under first-order underidentification
• Testing the adequacy of conventional asymptotics in GMM

zbMATH Keywords

over-identification testlong-run variancerobust standard error\(F\)-distributionheteroscedasticity and autocorrelation robustseries estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The Estimation of Economic Relationships using Instrumental Variables
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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• Title not available (Why is that?)
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• Simple Robust Testing of Regression Hypotheses
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• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• A theory of robust long-run variance estimation
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• Spectral analysis of signals. The missing data case.
• HAC ESTIMATION BY AUTOMATED REGRESSION
• The Generalization of Student's Ratio

Cited In (13)

• Size matters: covariance matrix estimation under the alternative
• Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
• Simple and trustworthy cluster-robust GMM inference
• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• Comment
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• Testing Parameters in GMM Without Assuming that They Are Identified
• SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS
• Sieve semiparametric two-step GMM under weak dependence
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
• Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting

Uses Software

• sapa

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