Asymptotic F Test in a GMM Framework
نویسنده
چکیده
The paper develops a new and easy-to-use F test in a time series GMM framework that allows for general forms of serial dependence. The test is based on the Wald statistic with a multiplicative correction factor and employs critical values from a standard F distribution. The F critical values are high-order correct under the conventional asymptotics. Monte Carlo simulations show that the F test is more accurate in size than the conventional chi-square test and is as accurate in size as the nonstandard test based on the xed-b asymptotics. JEL Classi cation: C13; C14; C32; C51
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