Score tests in GMM: why use implied probabilities?

DOI10.1016/j.jeconom.2020.03.004zbMath1464.62498OpenAlexW2939592353MaRDI QIDQ2224881

Eric Renault, Saraswata Chaudhuri

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/113484/7/WRAP-score-tests-GMM-implied-probabilities-Renault-2018.pdf

zbMATH Keywords

score testGMMimplied probabilitiesGEL

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03)

Related Items (1)

Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King

Cites Work

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• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
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• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• GMM with Weak Identification
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• ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
• Testing Parameters in GMM Without Assuming that They Are Identified
• A Conditional Likelihood Ratio Test for Structural Models
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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