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Criterion-based inference for GMM in autoregressive panel data models
被引:47
|作者:
Bond, S
Bowsher, C
Windmeijer, F
机构:
[1] Inst Fiscal Studies, London WC1E 7AE, England
[2] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England
基金:
英国经济与社会研究理事会;
关键词:
generalised method of moments;
hypothesis testing;
panel data;
D O I:
10.1016/S0165-1765(01)00507-9
中图分类号:
F [经济];
学科分类号:
02 ;
摘要:
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based on the continuously-updated GMM criterion [Journal of Business & Economic Statistics 14 (1996) 262] or exponential tilting parameters [Econometrica 66 (1998) 333]. 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 this test has similar properties to the two criterion-based alternatives, whilst being much simpler to compute. All three criterion-based tests outperform conventional Wald tests in this context. (C) 2001 Elsevier Science B.V. All rights reserved.
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页码:379 / 388
页数:10
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