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http://hdl.handle.net/10419/64703
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| Title: | | Tests for neglected heterogeneity in moment condition models  |
| Authors: | | Hahn, Jinyong Newey, Whitney K. Smith, Richard J. |
| Issue Date: | | 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: | | doi:10.1920/wp.cem.2011.2611 |
| Document Type: | | Working Paper |
| Appears in Collections: | | cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)
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