The approximate slopes and the power of the GMM overidentifying restrictions test
Journal
Applied Economics Letters
Journal Volume
12
Journal Issue
13
Pages
845-848
Date Issued
2005
Author(s)
Abstract
The concept of approximate slopes is employed to study the power properties of the Generalized Method of Moments (GMM) overidentifying restrictions test. Two versions of the overidentifying restrictions test are compared globally by means of the approximate slopes approach. With no autocorrelation in the moment functions, it is found that the GMM overidentifying test with the mean deviation covariance matrix is more powerful than the test using the conventional non-mean deviation one.
Type
journal article