Simple and powerful GMM over-identification tests with accurate size

DOI10.1016/j.jeconom.2011.09.039zbMath1441.62881OpenAlexW2112262946MaRDI QIDQ738121

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

zbMATH Keywords

long-run varianceover-identification testrobust standard error\(F\)-distributionheteroscedasticity and autocorrelation robustseries estimator

Mathematics Subject Classification ID

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

Related Items

Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework, 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, SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS, Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects, Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix, Sieve semiparametric two-step GMM under weak dependence, Asymptotic \(F\) and \(t\) tests in an efficient GMM setting, A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions, Simple and trustworthy cluster-robust GMM inference

Uses Software

• sapa

Cites Work

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