Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64703
Authors: 
Hahn, Jinyong
Newey, Whitney K.
Smith, Richard J.
Year of Publication: 
2011
Series/Report no.: 
cemmap working paper CWP26/11
Abstract: 
The central concern of the paper is with the formulation of tests of neglected parameter heterogeneity appropriate for model environments specified by a number of unconditional or conditional moment conditions. We initially consider the unconditional moment restrictions framework. Optimal m-tests against moment condition parameter heterogeneity are derived with the relevant Jacobian matrix obtained as the second order derivative of the moment indicator in a leading case. GMM and GEL tests of specification based on generalized information matrix equalities appropriate for moment-based models are described and their relation to the optimal m-tests against moment condition parameter heterogeneity examined. A fundamental and important difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the conditional moment context.
Subjects: 
GMM
GEL
Unconditional Moments
Conditional Moments
Score and LM Tests
Information Matrix Equality
JEL: 
C13
C30
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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