Small-sample properties of GMM-based wald tests
Date
1996-01-01
Authors
Journal Title
Journal ISSN
Volume Title
Repository Usage Stats
views
downloads
Citation Stats
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. © 1996 Taylor & Francis Group, LLC.
Type
Department
Description
Provenance
Subjects
Citation
Permalink
Published Version (Please cite this version)
Publication Info
Burnside, C, and M Eichenbaum (1996). Small-sample properties of GMM-based wald tests. Journal of Business and Economic Statistics, 14(3). pp. 294–308. 10.1080/07350015.1996.10524658 Retrieved from https://hdl.handle.net/10161/1887.
This is constructed from limited available data and may be imprecise. To cite this article, please review & use the official citation provided by the journal.
Collections
Unless otherwise indicated, scholarly articles published by Duke faculty members are made available here with a CC-BY-NC (Creative Commons Attribution Non-Commercial) license, as enabled by the Duke Open Access Policy. If you wish to use the materials in ways not already permitted under CC-BY-NC, please consult the copyright owner. Other materials are made available here through the author’s grant of a non-exclusive license to make their work openly accessible.