On testing overidentifying restrictions in dynamic panel data models

被引：261

作者：

Bowsher, CG ^{[1
]}

机构：

[1] Univ Oxford, Nuffield Coll, Oxford OX1 1NF, England

来源：

ECONOMICS LETTERS | 2002年 / 77卷 / 02期

基金：

英国经济与社会研究理事会;

关键词：

dynamic panel data; tests of overidentifying restrictions; exponential tilting; GMM;

D O I：

10.1016/S0165-1765(02)00130-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The effect of varying the number of moment conditions used on the finite sample properties of the Sargan test of overidentifying restrictions is investigated in the context of dynamic panel data models. The use of too many moment conditions causes the test to be undersized and to have extremely low power. Interestingly, the Exponential Tilting Parameter test is found generally to possess worse size properties than the Sargan test in this context. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：211 / 220

页数：10

共 6 条

[1] GMM estimation of a stochastic volatility model: A Monte Carlo study [J].