Open AccessSize matters: covariance matrix estimation under the alternative
Author(s) -
Allen Jason
Publication year - 2007
Publication title -
the econometrics journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.861
H-Index - 36
eISSN - 1368-423X
pISSN - 1368-4221
DOI - 10.1111/j.1368-423x.2007.00225.x
Subject(s) - monte carlo method , covariance matrix , econometrics , generalized method of moments , mathematics , covariance , estimation , statistics , test (biology) , economics , paleontology , panel data , biology , management
Summary The purpose of this paper is to investigate, using Monte Carlo methods, whether Hall's (2000) centred test of overidentifying restrictions for parameters estimated by generalized method of moments (GMM) is more powerful, once the test is size‐adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size‐adjusted power is gained over the standard uncentred calculation.