논문KCI 등재
Specification Tests of Overidentifying Restrictions for Minimum Distance Estimation
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초록
This papers surveys for practitioners on specification tests for the validity of the overidentifying restrictions in a minimum distance set-up. The tests include (i) Hansen’s J-test, (ii)Newey’s test, (iii) simulation based test, (iv) bootstrap based test.
Abstract
This papers surveys for practitioners on specification tests for the validity of the overidentifying restrictions in a minimum distance set-up. The tests include (i) Hansen’s J-test, (ii)Newey’s test, (iii) simulation based test, (iv) bootstrap based test.
참고문헌 (8)
- Abowd, J.M., "On the Covariance Structure of Earnings and Hours Changes", Econometrica, 57, pp.411~445 (1985)
- Chamberlain, G., "Panel Data, In Handbook of Econometrics, vol 3", pp.1465~1514 (1984), North-Holland
- Hall, P., "Bootstrap Critical Values for Tests Based on Generalized Mithod of Moments Estimators", Econometrica, 64, pp.891~916 (1996)
- Hansen, L.P., "Large Sample Properties of Generalized Method of Moments Estimators", Econometrica, 50, pp.1029~1054 (1982)
- Lillard, L.A., "Dynamic Aspects of Earning Mobility", Econometrica, 46, pp.985~1012 (1978)
- MaCurdy, T., "The Use of Time Series Process to Model the Earning Structure of Earnings in a Longitudinal Data Analysis", Journal of Econometics, 18, pp.83~114 (1982)
- Moon, H.R., "Minimum Distance Estimation of Nonstationary Time Series Models", Econometric Theory, 18, pp.1385~1407 (2002)
- Newey, W., "Generalized Method of Moments Specification Testing", Journal of Econometrics, 29, pp.229~256 (1985)
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