This paper considers classical hypothesis testing in the maximum likelihood (ML) and generalized method of moments (GMM) frameworks, where components of unconstrained (and constrained) estimates of a model may have various rates of convergence and their limiting distributions are asymptotically normally distributed. Sufficient conditions are established under which the likelihood ratio, efficie...

This paper explains why Godambe-Durbin \estimating functions" (EFs) from 1960 are worthy of attention in econometrics. Godambe and Kale (1991) show the failures of Gauss-Markov and least squares and prove the small-sample superiority of EFs. There are many areas of Econometrics including unit root estimation, generalized method of moments (GMM), panel data models, etc., which can use some simpl...

In this paper we derive a test statistic generating equation (TSGE) from which several statistics suitable for testing parametric restrictions in models estimated by the generalized method of moments (GMM) may be obtained. This statistic presents three main features: it is valid for producing statistics appropriate for testing constraints expressed in very general forms, which may involve not o...

This paper examines the impact of interactive development inward foreign direct investment (IFDI) and outward (OFDI) [two-way (FDI)] on regional environmental technology by using data from 30 provinces cities in China 2004 to 2017. To overcome possible endogeneity problem model, system generalized moment estimation method (system GMM) is used estimate model. The results show following: First, t...

This paper examines the relationship between ethical behavior and green growth for a large sample of 109 countries, comprised developed developing countries. We applied panel corrected standard error (PCSE) system generalized moment method (S-GMM) to achieve set-aside objectives. use recent data from Organisation Economic Co-operation Development (OCED). Our results show that high is associated...

The accumulation of rural human capital is one the important factors to realize sustainable development economy. Digital inclusive finance eases budget constraints farmers and affects their willingness ability invest in education which improves accumulation. impact digital on strong but complex determine. Based data from 31 provinces China 2011 2020, this study uses systematic Generalized Momen...

Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper, we provide general procedure inference under shape identified partially models defined by conditional moment restrictions. Our test statistics proposed methods are based on the minimum generalized method...

Generalized method of moments (GMM) is used to develop tests for discriminating discrete distributions among the two-parameter family of Katz distributions. Relationships involving moments are exploited to obtain identifying and over-identifying restrictions. The asymptotic relative e5ciencies of tests based on GMM are analyzed using the local power approach and the approximate Bahadur e5ciency...

This article surveys J. D. Sargan’s work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM). First the modeling context in which Sargan motivated IV estimation is presented. Then the theory of IV estimation as developed by Sargan is discussed. His approach to efficiency, his minimax estimator, tests of overidentification and underidentific...