Small-sample properties of GMM-based Wald tests

被引:52
|
作者
Burnside, C [1 ]
Eichenbaum, M [1 ]
机构
[1] NORTHWESTERN UNIV,DEPT ECON,EVANSTON,IL 60208
关键词
automated bandwidth selection; business-cycle model; Monte Carlo simulation; spectral-density matrix;
D O I
10.2307/1392444
中图分类号
F [经济];
学科分类号
02 ;
摘要
This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. In many cases, the small-sample size of the Wald tests exceeds its asymptotic size and increases sharply with the number of hypotheses being jointly tested. We argue that this is mostly due to difficulty in estimating the spectral-density matrix of the residuals. Estimators of this matrix that impose restrictions implied by the model or the null hypothesis substantially improve the properties of the Wald statistics.
引用
收藏
页码:294 / 308
页数:15
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