Criterion-based inference for GMM in autoregressive panel-data models.
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen, Heaton a...
| Những tác giả chính: | , , |
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| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
Elsevier
2001
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| _version_ | 1826290872717672448 |
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| author | Bond, S Bowsher, C Windmeijer, F |
| author_facet | Bond, S Bowsher, C Windmeijer, F |
| author_sort | Bond, S |
| collection | OXFORD |
| description | In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen, Heaton and Yaron, 1996) or exponential tilting parameters (Imbens, Spady and Johnson, 1998). The likelihood ratio type statistic is computed simply as the difference between the standard GMM tests of overidentifying restrictions in the restricted and unrestricted models. In Monte Carlo simulations we find thsi test had similar properties to the criterion-based alternatives, whilst being much simpler to compute. All three criterion-based tests outperform conventional Wald tests in this context. |
| first_indexed | 2024-03-07T02:50:50Z |
| format | Journal article |
| id | oxford-uuid:ada1a83b-e2ac-46b2-be27-6ca335dc13a3 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T02:50:50Z |
| publishDate | 2001 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:ada1a83b-e2ac-46b2-be27-6ca335dc13a32022-03-27T03:36:58ZCriterion-based inference for GMM in autoregressive panel-data models.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:ada1a83b-e2ac-46b2-be27-6ca335dc13a3EnglishDepartment of Economics - ePrintsElsevier2001Bond, SBowsher, CWindmeijer, FIn this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen, Heaton and Yaron, 1996) or exponential tilting parameters (Imbens, Spady and Johnson, 1998). The likelihood ratio type statistic is computed simply as the difference between the standard GMM tests of overidentifying restrictions in the restricted and unrestricted models. In Monte Carlo simulations we find thsi test had similar properties to the criterion-based alternatives, whilst being much simpler to compute. All three criterion-based tests outperform conventional Wald tests in this context. |
| spellingShingle | Bond, S Bowsher, C Windmeijer, F Criterion-based inference for GMM in autoregressive panel-data models. |
| title | Criterion-based inference for GMM in autoregressive panel-data models. |
| title_full | Criterion-based inference for GMM in autoregressive panel-data models. |
| title_fullStr | Criterion-based inference for GMM in autoregressive panel-data models. |
| title_full_unstemmed | Criterion-based inference for GMM in autoregressive panel-data models. |
| title_short | Criterion-based inference for GMM in autoregressive panel-data models. |
| title_sort | criterion based inference for gmm in autoregressive panel data models |
| work_keys_str_mv | AT bonds criterionbasedinferenceforgmminautoregressivepaneldatamodels AT bowsherc criterionbasedinferenceforgmminautoregressivepaneldatamodels AT windmeijerf criterionbasedinferenceforgmminautoregressivepaneldatamodels |