Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189367
Authors: 
Allen, Jason
Year of Publication: 
2005
Series/Report no.: 
Queen's Economics Department Working Paper 1091
Abstract: 
The purpose of this paper is to investigate, using Monte Carlo methods, whether or not Hall's (2000) centered test of overidentifying restrictions for parameters estimated by Generalized Method of Moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentered calculation. Empirical examples using Epstein and Zin (1991) preferences demonstrate that the centered and uncentered tests sometimes lead to different conclusions about model specification.
Subjects: 
Size
Power
GMM
Overidentifying restrictions
JEL: 
C15
C52
G12
Document Type: 
Working Paper

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