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dc.contributor.author Burnside, C
dc.contributor.author Eichenbaum, M
dc.date.accessioned 2010-03-09T15:28:08Z
dc.date.issued 1996-07-01
dc.identifier.citation Journal of Business and Economic Statistics, 1996, 14 (3), pp. 294 - 308
dc.identifier.issn 0735-0015
dc.identifier.uri http://hdl.handle.net/10161/1887
dc.description.abstract This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. In many cases, the small-sample size of the Wald tests exceeds its asymptotic size and increases sharply with the number of hypotheses being jointly tested. We argue that this is mostly due to difficulty in estimating the spectral-density matrix of the residuals. Estimators of this matrix that impose restrictions implied by the model or the null hypothesis substantially improve the properties of the Wald statistics.
dc.format.extent 294 - 308
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Business and Economic Statistics
dc.title Small-sample properties of GMM-based wald tests
dc.type Journal Article
dc.department Economics
pubs.issue 3
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 14

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