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Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - In: Journal of Econometrics 181 (2014) 2, pp. 181-193

consistent, but not necessarily optimal, GMM estimator. Our simulations demonstrate that these tests are properly sized and may …

Persistent link: https://www.econbiz.de/10010785290

Z-Estimators and Auxiliary Information under Weak Dependence

Crudu, F. - Centro Ricerche Nord Sud (CRENoS) - 2010

In this paper we introduce a weighted Z-estimator for moment condition models in the presence of auxiliary information on the unknown distribution of the data under the assumption of weak dependence. The resulting weighted estimator is shown to be consistent and asymptotically normal. Its small...

Persistent link: https://www.econbiz.de/10008727714

Testing Normality: A GMM Approach

Bontemps, Christian; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

scalar diffusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach … contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt …?espérance de chaque polynôme de Hermite est nulle. L?approche GMM est utile pour deux raisons. Elle nous permet de tenir compte du …

Persistent link: https://www.econbiz.de/10005100582

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010336485

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Chen, Xiaohong; Lee, Sokbae; Seo, Myung Hwan; Song, … - 2024

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

Persistent link: https://www.econbiz.de/10015193947

A Simple Test for Identification in GMM under Conditional Moment Restrictions

Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011

This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global...

Persistent link: https://www.econbiz.de/10008872207

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Chen, Xiaohong; Lee, Sokbae; Seo, Myung Hwan; Song, … - 2024

Persistent link: https://www.econbiz.de/10015149596

Local GMM Estimation of Time Series Models with Conditional Moment Restrictions

Gospodinov, Nikolay; Otsu, Taisuke - Department of Economics, Concordia University - 2008

This paper investigates statistical properties of the local GMM (LGMM) estimator for some time series models defined by …

Persistent link: https://www.econbiz.de/10004968092

Testing for a break in persistence under long-range dependencies

Sibbertsen, Philipp; Kruse, Robinson - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2007

We show that tests for a break in the persistence of a time series in the classicalI(0) - I(1) framework have serious size distortions when the actual data generatingprocess exhibits long-range dependencies. We prove that the limiting distributionof a CUSUM of squares based test depends on the...

Persistent link: https://www.econbiz.de/10005867433

Fund-of-Funds Construction by Statistical MultipleTesting Methods

Wolf, Michael; Wunderli, Dan - National Centre of Competence in ResearchFinancial … - 2009

Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number ofhedge funds from a large universe of candidate funds. We analyse whether such a selectioncan be successfully achieved by looking at the track records of the available funds alone,using advanced statistical...

Persistent link: https://www.econbiz.de/10005868542