On the effect of weighting matrix in GMM specification test

DOI10.1016/j.jspi.2016.06.003zbMath1353.62059OpenAlexW3121188989MaRDI QIDQ313110

Kazuhiko Hayakawa

Publication date: 9 September 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2016.06.003

zbMATH Keywords

GMMsize distortiondynamic panel data modelcovariance structure modelover-identifying restriction test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

Fixed T dynamic panel data estimators with multifactor errors

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Another look at the instrumental variable estimation of error-components models
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• A note on a Manova model applied to problems in growth curve
• Mean and Covariance Structure Analysis: Theoretical and Practical Improvements
• Labor income profiles are not heterogeneous: Evidence from income growth rates
• Asymptotically distribution‐free methods for the analysis of covariance structures
• 10 Structural Equation Modeling

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