Goodness of Fit Tests for Moment Condition Models

Detalhes bibliográficos
Autor(a) principal: Ramalho, Joaquim J.S.
Data de Publicação: 2005
Outros Autores: Smith, Richard J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/8427
Resumo: This paper proposes novel methods for the construction of tests for models specified by unconditional moment restrictions. It exploits the classical-like nature of generalized empirical likelihood (GEL) to define Pearson-type statistics for over-identifying moment conditions and parametric constraints based on constrasts of GEL implied probabilities which are natural by-products of GEL estimation. As is increasingly recognized, GEL can possess both theoretical and empirical advantages over the more standard generalized method of moments (GMM). Monte Carlo evidence comparing GMM, GEL and Pearsontype statistics for over-identifying moment conditions indicates that the size properties of a particular Pearson-type statistic is competitive in most and an improvement over other statistics in many circumstances.
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spelling Goodness of Fit Tests for Moment Condition ModelsGMMGeneralized Empirical LikelihoodOveridentifying MomentsParametric RestrictionsPearson-Type TestsThis paper proposes novel methods for the construction of tests for models specified by unconditional moment restrictions. It exploits the classical-like nature of generalized empirical likelihood (GEL) to define Pearson-type statistics for over-identifying moment conditions and parametric constraints based on constrasts of GEL implied probabilities which are natural by-products of GEL estimation. As is increasingly recognized, GEL can possess both theoretical and empirical advantages over the more standard generalized method of moments (GMM). Monte Carlo evidence comparing GMM, GEL and Pearsontype statistics for over-identifying moment conditions indicates that the size properties of a particular Pearson-type statistic is competitive in most and an improvement over other statistics in many circumstances.2013-04-03T11:29:30Z2013-04-032005-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/8427http://hdl.handle.net/10174/8427engRamalho, J.J.S. e R.J. Smith (2005), Goodness of Fit Tests for Moment Condition Models, Documento de Trabalho nº 2005/05, Universidade de Évora, Departamento de Economia.41jsr@uevora.ptndC13, C305_2005Department of Economics, University of ÉvoraDepartment of Economics, University of WarwickRamalho, Joaquim J.S.Smith, Richard J.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:49:26Zoai:dspace.uevora.pt:10174/8427Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:02:40.956203Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Goodness of Fit Tests for Moment Condition Models
title Goodness of Fit Tests for Moment Condition Models
spellingShingle Goodness of Fit Tests for Moment Condition Models
Ramalho, Joaquim J.S.
GMM
Generalized Empirical Likelihood
Overidentifying Moments
Parametric Restrictions
Pearson-Type Tests
title_short Goodness of Fit Tests for Moment Condition Models
title_full Goodness of Fit Tests for Moment Condition Models
title_fullStr Goodness of Fit Tests for Moment Condition Models
title_full_unstemmed Goodness of Fit Tests for Moment Condition Models
title_sort Goodness of Fit Tests for Moment Condition Models
author Ramalho, Joaquim J.S.
author_facet Ramalho, Joaquim J.S.
Smith, Richard J.
author_role author
author2 Smith, Richard J.
author2_role author
dc.contributor.author.fl_str_mv Ramalho, Joaquim J.S.
Smith, Richard J.
dc.subject.por.fl_str_mv GMM
Generalized Empirical Likelihood
Overidentifying Moments
Parametric Restrictions
Pearson-Type Tests
topic GMM
Generalized Empirical Likelihood
Overidentifying Moments
Parametric Restrictions
Pearson-Type Tests
description This paper proposes novel methods for the construction of tests for models specified by unconditional moment restrictions. It exploits the classical-like nature of generalized empirical likelihood (GEL) to define Pearson-type statistics for over-identifying moment conditions and parametric constraints based on constrasts of GEL implied probabilities which are natural by-products of GEL estimation. As is increasingly recognized, GEL can possess both theoretical and empirical advantages over the more standard generalized method of moments (GMM). Monte Carlo evidence comparing GMM, GEL and Pearsontype statistics for over-identifying moment conditions indicates that the size properties of a particular Pearson-type statistic is competitive in most and an improvement over other statistics in many circumstances.
publishDate 2005
dc.date.none.fl_str_mv 2005-01-01T00:00:00Z
2013-04-03T11:29:30Z
2013-04-03
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/8427
http://hdl.handle.net/10174/8427
url http://hdl.handle.net/10174/8427
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Ramalho, J.J.S. e R.J. Smith (2005), Goodness of Fit Tests for Moment Condition Models, Documento de Trabalho nº 2005/05, Universidade de Évora, Departamento de Economia.
41
jsr@uevora.pt
nd
C13, C30
5_2005
Department of Economics, University of Évora
Department of Economics, University of Warwick
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eu_rights_str_mv openAccess
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instacron:RCAAP
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instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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