Finite Sample Inference for GMM Estimators 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: | Working paper |
| Language: | English |
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IFS
2002
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| _version_ | 1826303029012332544 |
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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 | 2024-03-07T05:56:25Z |
| format | Working paper |
| id | oxford-uuid:eaaa53a9-4d47-4304-9cf6-3dcc127bc8cd |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:56:25Z |
| publishDate | 2002 |
| publisher | IFS |
| record_format | dspace |
| spelling | oxford-uuid:eaaa53a9-4d47-4304-9cf6-3dcc127bc8cd2022-03-27T11:03:54ZFinite Sample Inference for GMM Estimators in Linear Panel Data Models.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:eaaa53a9-4d47-4304-9cf6-3dcc127bc8cdEnglishDepartment of Economics - ePrintsIFS2002Bond, 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 Finite Sample Inference for GMM Estimators in Linear Panel Data Models. |
| title | Finite Sample Inference for GMM Estimators in Linear Panel Data Models. |
| title_full | Finite Sample Inference for GMM Estimators in Linear Panel Data Models. |
| title_fullStr | Finite Sample Inference for GMM Estimators in Linear Panel Data Models. |
| title_full_unstemmed | Finite Sample Inference for GMM Estimators in Linear Panel Data Models. |
| title_short | Finite Sample Inference for GMM Estimators in Linear Panel Data Models. |
| title_sort | finite sample inference for gmm estimators in linear panel data models |
| work_keys_str_mv | AT bonds finitesampleinferenceforgmmestimatorsinlinearpaneldatamodels AT windmeijerf finitesampleinferenceforgmmestimatorsinlinearpaneldatamodels |