Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models.
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 Wal...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Taylor&Francis
2005
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| _version_ | 1826257832193818624 |
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| author | Bond, S Windmeijer, F |
| author_facet | Bond, S Windmeijer, F |
| author_sort | Bond, S |
| collection | OXFORD |
| description | 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 recently been proposed. We consider both the AR(1) panel model and a design with predetermined regressors. The corrected two-step Wald test performs similarly to the standard one-step Wald test, whilst the bootstrapped one-step Wald test, the LM test, and a simple criterion-difference test can provide more reliable finite sample inference in some cases. |
| first_indexed | 2024-03-06T18:24:25Z |
| format | Journal article |
| id | oxford-uuid:0772d6f6-c4ea-4a4a-a517-b4ed734a459b |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:24:25Z |
| publishDate | 2005 |
| publisher | Taylor&Francis |
| record_format | dspace |
| spelling | oxford-uuid:0772d6f6-c4ea-4a4a-a517-b4ed734a459b2022-03-26T09:07:32ZReliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:0772d6f6-c4ea-4a4a-a517-b4ed734a459bEnglishDepartment of Economics - ePrintsTaylor&Francis2005Bond, SWindmeijer, FWe 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 recently been proposed. We consider both the AR(1) panel model and a design with predetermined regressors. The corrected two-step Wald test performs similarly to the standard one-step Wald test, whilst the bootstrapped one-step Wald test, the LM test, and a simple criterion-difference test can provide more reliable finite sample inference in some cases. |
| spellingShingle | Bond, S Windmeijer, F Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models. |
| title | Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models. |
| title_full | Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models. |
| title_fullStr | Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models. |
| title_full_unstemmed | Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models. |
| title_short | Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models. |
| title_sort | reliable inference for gmm estimators finite sample properties of alternative test procedures in linear panel data models |
| work_keys_str_mv | AT bonds reliableinferenceforgmmestimatorsfinitesamplepropertiesofalternativetestproceduresinlinearpaneldatamodels AT windmeijerf reliableinferenceforgmmestimatorsfinitesamplepropertiesofalternativetestproceduresinlinearpaneldatamodels |