Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/79371 
Year of Publication: 
2002
Series/Report no.: 
cemmap working paper No. CWP04/02
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these Wald tests; a version of the two-step Wald test that uses a more accurate asymptotic approximation to the distribution of the estimator; the LM test; and three criterion-bases tests that have recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The corrected two-step Wald test performs similarly to the standard one-step Wald test, whilst the bootstrapped one-step Wald test, the LM test, and a simple criterion-difference test can provide more reliable finite sample inference in some cases.
Subjects: 
Generalised Method of Moments (GMM) , Hypothesis Testing , Finite Sample Inference
JEL: 
C12
C23
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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