Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71535
Authors: 
Bond, Stephen
Bowsher, Clive
Windmeijer, Frank
Year of Publication: 
2001
Series/Report no.: 
IFS Working Papers, Institute for Fiscal Studies (IFS) 01/02
Abstract: 
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen, Heaton and Yaron, 1996) or exponential tilting parameters (Imbens, Spady and Johnson, 1998). The likelihood ratio type statistic is computed simply as the difference between the standard GMM tests of overidentifying restrictions in the restricted and unrestricted models. In Monte Carlo simulations we find thsi test had similar properties to the criterion-based alternatives, whilst being much simpler to compute. All three criterion-based tests outperform conventional Wald tests in this context.
Subjects: 
Generalised Method of Moments
Hypothesis testing
Panel data
JEL: 
C12
C23
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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