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Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
cemmap working paper No. CWP26/11
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
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.
Schlagwörter: 
GMM
GEL
Unconditional Moments
Conditional Moments
Score and LM Tests
Information Matrix Equality
JEL: 
C13
C30
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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