Small-Sample Properties of GMM-Based Wald Tests
نویسندگان
چکیده
منابع مشابه
Small-sample adjustments for Wald-type tests using sandwich estimators.
The sandwich estimator of variance may be used to create robust Wald-type tests from estimating equations that are sums of K independent or approximately independent terms. For example, for repeated measures data on K individuals, each term relates to a different individual. These tests applied to a parameter may have greater than nominal size if K is small, or more generally if the parameter t...
متن کاملSmall-Sample Adjustments for Wald-Type Tests Using Sandwich Estimators Author(s):
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...
متن کاملSystem GMM estimation with a small sample
Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small. This paper analyses through Monte Carlo simulations the properties of various GMM and other estimators when the number of individuals is the one typically available in country growth studies. It is found that, provid...
متن کاملSmall-Sample Properties of Censored-Data Rank Tests
Small-sample properties of censored-data.rank tests, such as Mantel's logrank test, the Breslow test or the general dass of tests proposed by Peto and Peto (1972, Journal oj the Royal Statistical Society, Series A 135, 185-206), are examined. It is found that the latter dass of tests, in particular, can be substantially nonconservative when applied to small sam pies. The most serious inaccuraci...
متن کاملWald tests of singular hypotheses
Motivated by the problem of testing tetrad constraints in factor analysis, we study the large-sample distribution of Wald statistics at parameter points at which the gradient of the tested constraint vanishes. When based on an asymptotically normal estimator, the Wald statistic converges to a rational function of a normal random vector. The rational function is determined by a homogeneous polyn...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 1996
ISSN: 0735-0015
DOI: 10.2307/1392444