Journal article
Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models.
- Abstract:
-
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using the generalized method of moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these Wald tests; a version of the two-step Wald test that uses a finite sample corrected estimate of the variance of the two-step GMM estimator; the LM test; and three criterion-based tests that have recen...
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Bibliographic Details
- Publisher:
- Taylor&Francis
- Journal:
- Econometric Reviews
- Volume:
- 24
- Issue:
- 1
- Pages:
- 1 - 37
- Publication date:
- 2005-01-01
- DOI:
- ISSN:
-
0747-4938
Item Description
- Language:
- English
- UUID:
-
uuid:0772d6f6-c4ea-4a4a-a517-b4ed734a459b
- Local pid:
- oai:economics.ouls.ox.ac.uk:12559
- Deposit date:
- 2011-08-15
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- Copyright date:
- 2005
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